[Quantlib-dev] [ quantlib-Feature Requests-1941916 ] Asian Average Strike Option

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Feature Requests item #1941916, was opened at 2008-04-14 12:19
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: abhishek Srivastava (abhiabhi001)
Assigned to: Nobody/Anonymous (nobody)
Summary: Asian Average Strike Option

Initial Comment:
Hi

in the instrument list "Asian Average Strike Option" is not avaialable.

Thanks
Abhishek

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>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-05 09:59

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The discrete arithmetic average strike will be available in next release.

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Comment By: Andreas Spengler (aspengler)
Date: 2008-09-03 20:28

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Hi,

I recently implemented an Asian Option on the basis of "moment matching".
As part of getting to know QuantLib, I would be willing to code this, if
the methodology is reasonable for you...

Rgds,

Andreas

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