Re: [Quantlib-dev] Finite difference implementation of continuously sampled arithmetic Asian option

[Luigi B. <lui...@gm...>]

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


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