Eberlein, Ernst; Papapantoleon, Antonis - In: Stochastic Processes and their Applications 115 (2005) 1, pp. 31-40
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...