Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527638 | Stochastic Processes and their Applications | 2005 | 10 Pages |
Abstract
We prove a symmetry relationship between floating strike and fixed strike Asian options for assets driven by general Lévy processes using a change of numéraire and the characteristic triplet of the dual process. We apply the same technique to prove a similar relationship between floating strike and fixed strike lookback options.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ernst Eberlein, Antonis Papapantoleon,