Posted by
Paul Carter-5 on
URL: http://quantlib.414.s1.nabble.com/Asian-arithmetic-average-strike-option-tp7965p7967.html
Hi Luigi,
Thanks for the quick and helpful reply. In a next step, I would actually like to feed a time dependent (deterministic) volatility into the MC engine. However, I am not quite sure where to start looking... There doesn't seem to be much documentation around this. At the moment I'm doing this:
Handle<BlackVolTermStructure> flatVolTermStructure( boost::shared_ptr<BlackVolTermStructure>( new BlackConstantVol( evalDate, calendar, volatility, dayCounter )));
So basically I'm looking to replace BlackConstantVol by something where volatility isn't a simple double as above, but a function pointer (well, I presume the actual implementation in QuantLib is more clever than this).
Another thing I was wondering about are the greeks. Currently, these aren't implemented for the MC Asian engines, but I would have thought that somewhere relatively far up the instrument class hierarchy, there should be a method that allows one to numerically approximate the greeks but simply bumping the relevant arguments (e.g. price of underlying for delta, volatility for vega, etc) and calculating the resulting slope of the change in value of the instrument. Any thoughts on this?
Regards,
Paul
On Fri, May 18, 2012 at 10:53 AM, Luigi Ballabio
<[hidden email]> wrote:
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?
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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