Equivalence of Floating and Fixed Strike Asian and Lookback Options
نویسندگان
چکیده
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.
منابع مشابه
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تاریخ انتشار 2005