BFS 2002

Poster Presentation

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 numéraire 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 num\'{e}raire, time reversal, Brownian motion.
AMS: 60G44, 91B28
      http://www.lancs.ac.uk/staff/wojakows/henderson_wojakowski_asian_revision_5dec2001.pdf