On the Equivalence of Floating and Fixed-Strike Asian Options
Vicky Henderson and
OFRC Working Papers Series from Oxford Financial Research Centre
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.
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2001mf08
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