An Asian strategy is a combination of two of the four basic Asian options (long call, short call, long put, short put) with varying strikes, expiry dates and notionals.
You can create the following Asian strategies:
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In the Single Option page you can select an Asian strategy from a predefined list; however, in the Portfolio page you must manually create the Asian strategy out of its individual options. For example, to price an Asian put spread you must enter two options, a purchase of a put (a long put) and a sale of a put (a short put). |