simple question probablywhat would be the best way to price a digital option where the payoff is the average over 10 dates?so it would be a digi asianthanks

Just to make sure:is for all ten trigger Dates your S>X you get 10/10=1, if for five out of ten triggers S>X you get 5/10=0.5 and so on, right?I probably would value ten single digitals, with 0.1 - 0 payoff each and sum them up. If that's the best way in terms of speed I don't know. But I guess it's the easiest one.

test

in contradiction to friesenjungI think mr97 means that the underlying is asian and the payoff digital. IE as per a vanilla asian call, the final S(T) is the arithmetic average of -say - N fixings of a particular underlying. If this is above/below the strike then payoff = 1/0 or vice versa.I suppose the first thing thatn comes to mind with regard to pricing is to use an Asian Call spread. that being for an asian digital call - long Z asian calls at strike X and short Z asian calls at strike X + epsilon. usually vanilla CSs mimic the payoff of a euro digital given sufficient notionals and strike levels. (Zs and epsilons)