Asian arithmetic average strike option

Posted by Paul Carter-5 on
URL: http://quantlib.414.s1.nabble.com/Asian-arithmetic-average-strike-option-tp7965.html

Hi,

I am trying to understand how to price Asian arithmetic average strike options. There is an example in the testsuite, but the fact that the payoff is a PlainVanillaPayoff, which requires a strike price as its second argument, irritates me. After all, in an average strike option I don't know the strike a priori. Anyone who can shed some light on this?

Paul

------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users