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: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48614
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:02
Refereed?: No
Published?: Published
Last Modified: 18 Feb 2020 00:22
URI: https://eprints.lancs.ac.uk/id/eprint/48614

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