Equivalence of floating and fixed strike Asian and lookback options

Ernst Eberlein and Antonis Papapantoleon

Stochastic Processes and their Applications, 2005, vol. 115, issue 1, 31-40

Abstract: 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.

Keywords: Asian; options; Lookback; options; Lévy; processes; Change; of; numeraire; Stationary; increments; Symmetry (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (14)

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