On the Equivalence of Floating and Fixed-Strike Asian Options
نویسندگان
چکیده
منابع مشابه
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 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-str...
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We prove a symmetry relationship between floating-strike and fixed-strike Asian options for assets driven by general Lévy processes using a change of numéraire and the characteristic triplet of the dual process. We apply the same technique to prove a similar relationship between floating-strike and fixed-strike lookback options.
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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 ave...
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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 is exact until after the averaging has begun and ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.293967