Curran implementation for Asians
Posted: January 31st, 2006, 12:55 pm
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 should be fine (always below the "true" price). I can't use the simple formula as from e.g. Haug's book because I don't have equidistant fixing points.I also read that there are many typos on this paper. Anyone know any details?