On the Equivalence of Floating and Fixed-Strike Asian Options

Vicky Henderson and Rafal Wojakowski

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: 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 numeraire and time reversal of the Brownian motion. Symmetries are very useful in option valuation and in this case, the result allows the use of more established fixed-strike pricing methods to price floating-strike Asian options.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.finance.ox.ac.uk/file_links/finecon_papers/2001mf08.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.finance.ox.ac.uk:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2001mf08

Access Statistics for this paper

More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().