Reply To: Asian Options as Exchange Products

Israr Ahmed

Yep. The big reasons for modelling as ComFut/ComOpFut or ComSwap / ComOpt would be :
(1) Trade Interfaces
(2) Closeouts
(3) Exercise into Futures
(4) Market Valuation

(1)/(2)/(4) applies quite strongly to Futures hence ComFut .
(3) applies quite strongly to Exchange Options that exercise into Futures hence ComOptFut

However for Exchange Asian Options … I’m almost minded to use ComOpt , with (4) being my only reservations [ Reg (2) I’m even not 100% sure what Closeout methodology works for ComOptFuts given that when you book two deals with same strike and P/C they actually generate different ins nums ie holding instruments ].

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