Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -