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Bounds for in-progress floating-strike Asian options using symmetry

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Bounds for in-progress floating-strike Asian options using symmetry. / Henderson, Vicky; Hobson, D; Shaw, W; Wojakowski, R M.

In: Annals of Operations Research, Vol. 151, No. 1, 2007, p. 81-98.

Research output: Contribution to journalJournal article

Harvard

Henderson, V, Hobson, D, Shaw, W & Wojakowski, RM 2007, 'Bounds for in-progress floating-strike Asian options using symmetry', Annals of Operations Research, vol. 151, no. 1, pp. 81-98. https://doi.org/10.1007/s10479-006-0122-8

APA

Henderson, V., Hobson, D., Shaw, W., & Wojakowski, R. M. (2007). Bounds for in-progress floating-strike Asian options using symmetry. Annals of Operations Research, 151(1), 81-98. https://doi.org/10.1007/s10479-006-0122-8

Vancouver

Henderson V, Hobson D, Shaw W, Wojakowski RM. Bounds for in-progress floating-strike Asian options using symmetry. Annals of Operations Research. 2007;151(1):81-98. https://doi.org/10.1007/s10479-006-0122-8

Author

Henderson, Vicky ; Hobson, D ; Shaw, W ; Wojakowski, R M. / Bounds for in-progress floating-strike Asian options using symmetry. In: Annals of Operations Research. 2007 ; Vol. 151, No. 1. pp. 81-98.

Bibtex

@article{3732ea8c8d8d4210bd4602ee5f26aae0,
title = "Bounds for in-progress floating-strike Asian options using symmetry",
abstract = "This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.",
keywords = "Asian options , Floating strike Asian options , Put call symmetry , Bounds , Change of num{\'e}raire",
author = "Vicky Henderson and D Hobson and W Shaw and Wojakowski, {R M}",
year = "2007",
doi = "10.1007/s10479-006-0122-8",
language = "English",
volume = "151",
pages = "81--98",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - Bounds for in-progress floating-strike Asian options using symmetry

AU - Henderson, Vicky

AU - Hobson, D

AU - Shaw, W

AU - Wojakowski, R M

PY - 2007

Y1 - 2007

N2 - This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.

AB - This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.

KW - Asian options

KW - Floating strike Asian options

KW - Put call symmetry

KW - Bounds

KW - Change of numéraire

U2 - 10.1007/s10479-006-0122-8

DO - 10.1007/s10479-006-0122-8

M3 - Journal article

VL - 151

SP - 81

EP - 98

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1

ER -