Re: [Quantlib-users] Model for pricing Asian options

[Peter C. <pca...@gm...>]

Hey Ashish,

in addition to what Luigi said, this might be of interest to you:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/pricingengines/commodityapoengine.hpp

Thanks
Peter

On Mon, 3 Jan 2022 at 15:17, Luigi Ballabio <lui...@gm...> wrote:
>
> Not that I know of.
>
> On Wed, Dec 29, 2021 at 2:08 PM Ashish Bansal <ash...@gm...> wrote:
>>
>> Do you know if Asian option engines have moment matching inbuilt?
>>
>> On Tue, 28 Dec 2021 at 21:03, Luigi Ballabio <lui...@gm...> wrote:
>>>
>>> Hello Ashish, no, it's not.
>>>
>>> Luigi
>>>
>>>
>>> On Thu, Dec 2, 2021 at 11:35 AM Ashish Bansal <ash...@gm...> wrote:
>>>>
>>>> Hi,
>>>>
>>>> Is the turnbull-wakeman model supported in QL for pricing the asian options? I wish to price the commodity asian options.
>>>>
>>>> Regards,
>>>> Ashish
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