Equivalence of floating and fixed strike Asian and lookback options

We prove a symmetry relationship between floating strike and fixed strike Asian options for assets driven by general Lévy processes using a change of numéraire and the characteristic triplet of the dual process. We apply the same technique to prove a similar relationship between floating strike and fixed strike lookback options.

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Year of publication:	2005
Authors:	Eberlein, Ernst ; Papapantoleon, Antonis
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 1, p. 31-40
Publisher:	Elsevier
Keywords:	Asian options Lookback options Lévy processes Change of numeraire Stationary increments Symmetry

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874061