Feature Requests item #1941916, was opened at 2008-04-14 12:19
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: abhishek Srivastava (abhiabhi001)
Assigned to: Nobody/Anonymous (nobody)
Summary: Asian Average Strike Option
Initial Comment:
Hi
in the instrument list "Asian Average Strike Option" is not avaialable.
Thanks
Abhishek
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>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-05 09:59
Message:
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The discrete arithmetic average strike will be available in next release.
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Comment By: Andreas Spengler (aspengler)
Date: 2008-09-03 20:28
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Hi,
I recently implemented an Asian Option on the basis of "moment matching".
As part of getting to know QuantLib, I would be willing to code this, if
the methodology is reasonable for you...
Rgds,
Andreas
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