Asian Option

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