Pricing Outside Floating-Strike Lookback Options
نویسندگان
چکیده
منابع مشابه
Equivalence of Floating and Fixed Strike Asian and Lookback Options
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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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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ژورنال
عنوان ژورنال: Korean Journal of Applied Statistics
سال: 2009
ISSN: 1225-066X
DOI: 10.5351/kjas.2009.22.1.059