Equivalence of floating and fixed strike Asian and lookback options

Stochastic Processes and their Applications

Volumn 115, Issue 1, 2005, Pages 31-40

  Eberlein, Ernst ^a   Papapantoleon, Antonis ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Asian options; Change of num raire; L vy processes; Lookback options; Stationary increments; Symmetry

Indexed keywords

EQUIVALENCE CLASSES; INTEGRAL EQUATIONS; MATHEMATICAL MODELS; RANDOM PROCESSES;

ASIAN OPTIONS; FIXED STRIKE; FLOATING STRIKE; LEVY PROCESSES; LOOKBACK OPTIONS; STATIONARY INCREMENTS;

FINANCE;

EID: 10244260426     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.07.003     Document Type: Article

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