Bounds for in-progress floating-strike Asian options using symmetry

Henderson, Vicky and Hobson, D and Shaw, W and Wojakowski, R M (2007) Bounds for in-progress floating-strike Asian options using symmetry. Annals of Operations Research, 151 (1). pp. 81-98. ISSN 0254-5330

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Abstract

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 coincides with the true price 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:
Journal Article
Journal or Publication Title:
Annals of Operations Research
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
44827
Deposited By:
Deposited On:
11 Jul 2011 18:22
Refereed?:
Yes
Published?:
Published
Last Modified:
24 Jun 2020 01:26