On the Equivalence of Floating and Fixed-Strike Asian Options

There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options. The proof involves a change of numeraire and time reversal of the Brownian motion. Symmetries are very useful in option valuation and in this case, the result allows the use of more established fixed-strike pricing methods to price floating-strike Asian options.

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Year of publication:	2001
Authors:	Henderson, Vicky ; Wojakowski, Rafal
Institutions:	Finance Research Centre, Oxford University

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Extent:	application/pdf
Series:	OFRC Working Papers Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005212049