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On the equivalence of floating-and fixed-strike Asian options

Henderson, V and Wojakowski, R (2002) On the equivalence of floating-and fixed-strike Asian options Journal of Applied Probability, 39 (2). pp. 391-394.

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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 numéraire and time reversal of 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.

Item Type: Article
Divisions : Surrey research (other units)
Authors :
Henderson, V
Date : June 2002
DOI : 10.1239/jap/1025131434
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:18
Last Modified : 24 Jan 2020 14:20

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