Loading...
Please wait, while we are loading the content...
Similar Documents
On the equivalence of floating- and fixed-strike Asian options
| Content Provider | Scilit |
|---|---|
| Author | Henderson, Vicky Wojakowski, Rafał |
| Copyright Year | 2002 |
| Description | 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 numéraire and time reversal of 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. |
| Related Links | https://eprints.lancs.ac.uk/id/eprint/48614/1/Document.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D3E729FBDFAEC8117F8FB0CD98D1F353/S0021900200022592a.pdf/div-class-title-on-the-equivalence-of-floating-and-fixed-strike-asian-options-div.pdf |
| Ending Page | 394 |
| Page Count | 4 |
| Starting Page | 391 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1017/s0021900200022592 |
| Journal | Journal of applied probability |
| Issue Number | 02 |
| Volume Number | 39 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2002-06-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Applied Mathematics Asian Option strike Asian Option Put Call Symmetry Change of Numéraire Time Reversal Brownian Motion |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
