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

Research

Electronic data

Keywords

View graph of relations

On the equivalence of floating and fixed-strike Asian options

Research output: Working paper

Published

Standard

On the equivalence of floating and fixed-strike Asian options. / Henderson, V; Wojakowski, R M.
Lancaster University: The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Henderson, V & Wojakowski, RM 2000 'On the equivalence of floating and fixed-strike Asian options' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Henderson, V., & Wojakowski, R. M. (2000). On the equivalence of floating and fixed-strike Asian options. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Henderson V, Wojakowski RM. On the equivalence of floating and fixed-strike Asian options. Lancaster University: The Department of Accounting and Finance. 2000. (Accounting and Finance Working Paper Series).

Author

Henderson, V ; Wojakowski, R M. / On the equivalence of floating and fixed-strike Asian options. Lancaster University : The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{89834a095f80484c943e85158bbdb997,
title = "On the equivalence of floating and fixed-strike Asian options",
abstract = "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.",
keywords = "Asian Options, floating strike, Asian options, put call symmetry, change of numeraire, time reversal, Brownian motion",
author = "V Henderson and Wojakowski, {R M}",
year = "2000",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - On the equivalence of floating and fixed-strike Asian options

AU - Henderson, V

AU - Wojakowski, R M

PY - 2000

Y1 - 2000

N2 - 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.

AB - 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.

KW - Asian Options

KW - floating strike

KW - Asian options

KW - put call symmetry

KW - change of numeraire

KW - time reversal

KW - Brownian motion

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

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

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -