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On the equivalence of floating-and fixed-strike Asian options
Journal article   Peer reviewed

On the equivalence of floating-and fixed-strike Asian options

V Henderson and R Wojakowski
Journal of Applied Probability, Vol.39(2), pp.391-394
06/2002

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 numéraire 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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