Model[Asian_Option]__Pricing_Method

Available

Corresponds to the QuantLib AnalyticContinuousGeometricAveragePriceAsian Engine.

Pricing engine for European continuous geometric average price Asian options.

Note this method ignores the discrete time schedule defined in the asian option, since it assumes the underlying value is recorded continuously.

It also fails to process past fixings.

The formula is from "VanillaOption Pricing Formulas", E. G. Haug (1997) pag 96-97

Corresponds to the QuantLib AnalyticDiscreteGeometricAveragePriceAsian Engine.

Pricing engine for European discrete geometric average price Asian options.

The formula is from "Asian VanillaOption", E. Levy (1997) in "Exotic VanillaOptions: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97

Corresponds to the QuantLib AnalyticDiscreteGeometricAverageStrikeAsian Engine.

Pricing engine for European discrete geometric average strike Asian options.

Note that QuantLib (up to version 1.5) cannot process past fixings.

The formula is from "Asian VanillaOption", E. Levy (1997) in "Exotic VanillaOptions: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97

Corresponds to the QuantLib FdBlackScholesAsian Engine.

Pricing engine for European discrete arithmetic average price Asian options.

This method requires the specification of an object of type Finite Differences

Corresponds to the QuantLib MCDiscreteArithmeticAP Engine.

Monte Carlo pricing engine for European discrete arithmetic average price Asian options.

It can use a MCDiscGeomAvgPrice (Monte Carlo discrete arithmetic average price) engine and a AnalyticDiscGeomAvgPriceAsian (analytic discrete arithmetic average price) engine for control variation.

This method requires the specification of an object of type Model[Simulation]

Corresponds to the QuantLib MCDiscreteArithmeticAS Engine.

Monte Carlo pricing engine for European discrete arithmetic average strike Asian options.

This method requires the specification of an object of type Model[Simulation]

Corresponds to the QuantLib MCDiscreteGeometricAP Engine.

Monte Carlo pricing engine for European discrete geometric average price Asian options.

This method requires the specification of an object of type Model[Simulation]