On the Equivalence of Floating and Fixed-Strike Asian Options

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

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Year of publication:	[2008]
Authors:	Henderson, Vicky
Other Persons:	Wojakowski, Rafal M. (contributor)
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (7 p)
Series:	LUMS Working Paper ; No. 2001/005
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.293967 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012728168