Asian Option

[xiaozhi-alan-zhu]

Hi team,
Is there any plan for the implementation of asian option computation? I would like to contribute if there is anything related in you plan.

I can also contribute to other issues if you have one.

Xiaozhi

[cyrilchim]

Hi Xiaozhi, I don't think anyone is working on that atm but it would be cool to have a pricing formula for Asian options at least for the Black-Scholes case.

There are more potential projects available :-)

[cyrilchim]

Hi Xiaozhi,

Are you working on this one? If so, could you please clarify what you are implementing.

Thanks,
Cyril

[jackgillett101]

I've added a discretely sampled geometric asian pricer under BS. Once this is done I'll have a look at doing the same for Heston (and also the continuous equivalents in both models, and maybe some average strike options too).