I found all the daedric artifacts; but I am not getting the award. Looked up the quests and everything is completed. Nothing left undone. So how do I get the award ?
According to the wiki, there are 15 artifacts required to obtain this trophy. Technically there is 17 in total, but 4 are mutually exclusive (supposedly) - there are two quests that reward one item or another. These are the Ring of Hircine/Saviour's Hide, and the Azura's Star/The Black Star. The Skeleton Key is not meant to contribute to this achievement, since it is intended to be returned at the end of the questline.
However, this bug has occurred before, and some have found a solution to it.
If in the "Ill Met by Moonlight" quest, you chose to help Sinding, and obtain the Ring of Hircine, return to the Bloated Man's Grotto, and kill Sinding. This should make Hircine appear, and award the Saviour's Hide. If you wish to maintain a game with Sinding alive, save beforehand - you will maintain the trophy, but lose the Hide.