<t>Has anyone an implementation of the Curran approximation for Asian options? I'm looking for an implementation with numerical integration for C1 as described in his paper "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price". I'm unable to get the price right. My C2 sho...

Many, MANY thanks to both of you! You were a great help!

Do you have any sources for that paper "Exact Exotics"?

<t>My first guess would be, that the analytic formula you use prices continously monitored barrier options, while you can't price those with MC - at least not without tricks. So you are comparing the price of a continously monitored barrier options with one of a discrete monitored one. There exists ...

<t>It should(!) work just like all other quantos: just change your cost of carry. In detail: as the formula for the digitals is just the last part of the BS formula, just use the last part of the corresponding quanto formula: c=K*exp(-r*T)*N(d)where d=(ln(S/X)+(rf-q-corr*sigma*sigmaFX+sigma^2/2)*T)/...

<t>I'm desperately trying to find the original paper from Curran "Valuing Asian and Portfolio Options by Conditioning on the Geometric". Can anyone please give me a hint were to download/purchase it? Also I'm trying to find some real good and practical orientated work on Asians. Any tips? I have the...