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On the equivalence of floating and fixed-strike Asian options

Henderson, V and Wojakowski, R M (2000) On the equivalence of floating and fixed-strike Asian options. Working Paper. The Department of Accounting and Finance, Lancaster University.

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    Abstract

    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 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: Monograph (Working Paper)
    Uncontrolled Keywords: Asian Options ; floating strike ; Asian options ; put call symmetry ; change of numeraire ; time reversal ; Brownian motion
    Subjects: UNSPECIFIED
    Departments: Lancaster University Management School > Accounting & Finance
    ID Code: 48614
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:02
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:11
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48614

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