Equivalence of floating and fixed strike Asian and lookback options

DOI10.1016/j.spa.2004.07.003zbMath1114.91049OpenAlexW2083694899MaRDI QIDQ2485814

Ernst Eberlein, Antonis Papapantoleon

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.07.003

zbMATH Keywords

Lévy processesAsian optionsSymmetryChange of numéraireLookback optionsStationary increments

Mathematics Subject Classification ID

Related Items (22)

Exotic options under Lévy models: an overview ⋮ A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ A General Framework for Pricing Asian Options Under Markov Processes ⋮ Asian Options Under One-Sided Lévy Models ⋮ A comprehensive mathematical approach to exotic option pricing ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ An Efficient Transform Method for Asian Option Pricing ⋮ Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment ⋮ Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps ⋮ On the duality principle in option pricing: semimartingale setting ⋮ Computable Error Bounds of Laplace Inversion for Pricing Asian Options ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Bounds for in-progress floating-strike Asian options using symmetry ⋮ Portfolio sensitivity to changes in the maximum and the maximum drawdown ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Causality effects in return volatility measures with random times ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Pricing of fixed-strike lookback options on assets with default risk ⋮ Asian options on the harmonic average ⋮ Bounds for the price of discrete arithmetic Asian options ⋮ BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS

Cites Work

• On the range of options prices
• Hyperbolic distributions in finance
• Bounds for the price of discrete arithmetic Asian options
• On the equivalence of floating- and fixed-strike Asian options
• Pricing Asian options in a semimartingale model
• On a new approach to calculating expectations for option pricing
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