Questions about Asian pricing engines

Posted by Robert Buchanan-2 on Jul 23, 2008; 4:48pm
URL: http://quantlib.414.s1.nabble.com/Questions-about-Asian-pricing-engines-tp6372.html

Hello,

        I was browsing the online documentation for QuantLib's asian option pricing engines and now I have a question. 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? 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?

Thanks,
Bob



Bob Buchanan
Department of Mathematics
Millersville University

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