On the equivalence of floating-and fixed-strike Asian options

Journal of Applied Probability

Volumn 39, Issue 2, 2002, Pages 391-394

  Henderson, Vicky ^a   Wojakowski, Rafał ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Asian option; Brownian motion; Change of num raire; Floating strike Asian option; Put call symmetry; Time reversal

Indexed keywords

EID: 0036592908     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1025131434     Document Type: Article

References (13)

1. A PDE approach to Asian options: Analytical and numerical evidence
2. On martingale diffusions describing the 'smile effect' for implied volatilities
3. On certain Markov processes attached to exponential functions of Brownian motion: Applications to Asian options
4. Laguerre series for Asian and other options
5. Pricing continuous Asian options: A comparision of Monte Carlo and Laplace transform inversion methods
6. Changes of numéraire, changes of probability measure and option pricing
7. Bessel processes, Asian options and perpetuities
8. Local time, coupling and the passport option
9. Introduction to the option contract and profit returns from purchasing puts and calls
10. The value of an Asian option
11. A new PDE approach for pricing arithmetic Asian options