Bounds for in-progress floating-strike Asian options using symmetry

Vicky Henderson (), David Hobson (), William Shaw () and Rafal Wojakowski ()

Annals of Operations Research, 2007, vol. 151, issue 1, 98 pages

Abstract: 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 averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples. Copyright Springer Science+Business Media, LLC 2007

Keywords: Asian options; Floating strike Asian options; Put call symmetry; Bounds; Change of numéraire (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10479-006-0122-8

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