Bounds for In-Progress Floating-Strike Asian Options Using Symmetry
Posted: 6 Mar 2008
Abstract
This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed simply given one of the many efficient methods for pricing fixed-strike Asian options. The bound coincides with the true price until after the averaging has begun and again at maturity. The bound is compared to benchmark prices obtained via Monte Carlo simulation in numerical examples.
Keywords: Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire
Suggested Citation: Suggested Citation
Henderson, Vicky and Hobson, David and Shaw, William and Wojakowski, Rafal M., Bounds for In-Progress Floating-Strike Asian Options Using Symmetry. Annals of Operation Research, Vol. 151, No. 1, 2007, Available at SSRN: https://ssrn.com/abstract=1102128
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