Powered by



Back Next


On the Equivalence of Floating and Fixed-Strike Asian Options

Vicky Henderson, Rafal Wojakowski


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.

Click here to download paper (230 kB)


Back Next