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...

In this paper we examine the dependence of option prices in a general jump-diffusion model on the choice of martingale pricing measure. Since the model is incomplete there are many equivalent martingale measures. Each of these measures corresponds to a choice for the market price of diffusion...

This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk. As an example, and as our...

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 the Brownian motion. Symmetries are...

This paper examines the efficiency of stock based compensation by valuing stock and options from the executive's point of view. Companies give compensation in the form of stock in order to align incentives by providing a link between executive wealth and the stock price performance of the...

This paper orders option prices under various well known martingale measures in an incomplete stochastic volatility model. The central result is a comparison theorem which proves convex option prices are decreasing in the market price of volatility risk, the parameter governing the choice of...