Title of article :
Equivalence of floating and fixed strike Asian and lookback options
Author/Authors :
Eberlein، نويسنده , , Ernst and Papapantoleon، نويسنده , , Antonis، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Pages :
10
From page :
31
To page :
40
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 :
Asian options , Lévy processes , Lookback options , Change of numéraire , Stationary increments , Symmetry
Journal title :
Stochastic Processes and their Applications
Serial Year :
2005
Journal title :
Stochastic Processes and their Applications
Record number :
1577532
Link To Document :
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