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Asian Option #56

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xiaozhi-alan-zhu opened this issue Jul 10, 2021 · 3 comments
Open

Asian Option #56

xiaozhi-alan-zhu opened this issue Jul 10, 2021 · 3 comments

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@xiaozhi-alan-zhu
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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
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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
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Hi Xiaozhi,

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

Thanks,
Cyril

@jackgillett101 jackgillett101 mentioned this issue Nov 28, 2022
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@jackgillett101
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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).

@jackgillett101 jackgillett101 mentioned this issue Dec 8, 2022
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3 participants
@jackgillett101 @cyrilchim @xiaozhi-alan-zhu