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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
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