On Wed, 2008-07-23 at 12:48 -0400, Robert Buchanan wrote:
> I see there are pricing engines for continuously sampled,
> geometrically averaged asian options (an analytic engine), for
> discretely sampled, geometrically averaged asian options (an analytic
> engine), and for discretely sampled, arithmetically averaged asian
> options (a Monte Carlo engine). However, I did not see a pricing
> engine for continuously sampled, arithmetically averaged asian
> options. Why is that?
There is no closed formula for continuously sampled, arithmetically
averaged options. The continuous case can be approximated by increasing
the number of fixing dates in the discrete case.
> Is the developer group waiting for someone to volunteer to implement
> that? Are there any PDE, perhaps finite difference-based pricing
> engines for these types of asian options?
They can be solved with finite-differences, but one needs to evolve two
variables plus time. We have no support for that yet (the current
framework manages one variable plus the time.)
Luigi
--
For every problem there is one solution which is simple, neat, and
wrong.
-- H. L. Mencken
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