Hi Andreas,
I wrote VBA code for analytical approximation ~ year ago, I do not remember whether I tested it accurately.
I have spreadsheet with test cases and VBA code.
The following two articles I used for analytical approximations:
' 1. Ton Vorst, "Prices and Hedge RAtios of Average Exchange Rate Options"
' 2. M.J. Siclari, Technical Report TR 00-10, OpenLink, 2000
Also, as far as I remember Haug book have several approximations.
I thought that QuantLib have something which is ready to go. I see that there is a Monte Carlo for doing this,
but it is a bit not practical since it much slow, though accurate.
If you need I can send you my code.
I am not ready to convert it to C++ for QuantLib since I am not yet very familiar with quantlib. Though, I am going to read "Implementing Quantib"
http://luigi.ballabio.googlepages.com/qlbook by Luigi to clarify several aspects.
Boris.
On Thu, Mar 12, 2009 at 4:11 AM, Andreas Spengler
<[hidden email]> wrote:
Hi Boris,
Es schrieb Boris Skorodumov
> Does a QuantLib have analytical approximation for discrete arithmetic
> average price Asian option ? (Levy 1997)
> I did not found this in 0.9.7 version.
I started to do an implementation of this (in private) - since I was
working on this in a different project - a few months ago, but haven't yet
come around to finish it.
Rgds,
Andreas
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