Article ID Journal Published Year Pages File Type
10527638 Stochastic Processes and their Applications 2005 10 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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