Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Asian-arithmetic-average-strike-option-tp7965p7966.html
On Thu, May 17, 2012 at 11:21 PM, Paul Carter <
[hidden email]> wrote:
> 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?
Hi Paul,
the passed strike is ignored. The PlainVanillaPayoff is a square
peg that was made to fit in a round hole. If that's any consolation,
it irritates me, too.
Luigi
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