On the Equivalence of Floating and Fixed-Strike Asian
Options
Vicky Henderson, Rafal Wojakowski
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.
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