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Bounds for In-progress Floating-strike Asian Options Using Symmetry

Henderson, V, Hobson, D, Shaw, W and Wojakowski, RM (2007) Bounds for In-progress Floating-strike Asian Options Using Symmetry Annals of Operations Research, 151 (1). pp. 81-98.

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This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound is exact until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.

Item Type: Article
Divisions : Surrey research (other units)
Authors :
Henderson, V
Hobson, D
Shaw, W
Date : 2007
DOI : 10.1007/s10479-006-0122-8
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:18
Last Modified : 24 Jan 2020 14:19

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