Asian Option


Asian Option is a direct subtype of Exotic Option
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with functions Asian Option Functions, keys Asian Option keys and example object AsianOpt

TYPE INCLUSION RELATIONSHIPS

Exotic Option

Asian Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Asian Type

Average Schedule

Average Type

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TYPICAL OBJECTS OF TYPE Asian Option

AsianOpt

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This type represents an Option contract, where either the final underlying price or the strike in the payoff formula is replaced with the "average" of the underlying prices realised in a certain time interval before expiry.

The following features are currently not supported by QuantLib:
American and Bermudan exercise style, barriers, discrete dividends/storage costs.

The various types of asian options are described in Asian Type

The pricing methodology is specified in Model[Asian Option]