Home > Research > Publications & Outputs > On the equivalence of floating and fixed-strike...

Electronic data

View graph of relations

On the equivalence of floating and fixed-strike Asian options

Research output: Working paper



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 numeraire 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.