Re: Finite difference implementation of continuously sampled arithmetic Asian option

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Finite-difference-implementation-of-continuously-sampled-arithmetic-Asian-option-tp9666p9667.html

On Sun, 2010-01-10 at 17:17 -0500, Stephen Tse wrote:
>   It's mentioned in the archive(reproduced below) that FD pricing
> engine for continuously sampled arithmetic Asian option has not been
> implemented in QuantLib. [...] I'm
> wondering if the current framework allows its pricing using Jan
> Vecer's PDE which involves only one variable plus time.

I think it does.

>  If the current
> framework allows it, I'd like to give it a try. What do you think?

Sure, please go ahead.

Luigi


--

Lubarsky's Law of Cybernetic Entomology:
There is _always_ one more bug.



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