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On the equivalence of floating- and fixed-strike Asian options

  • Vicky Henderson (a1) and Rafał Wojakowski (a2)

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.

Corresponding author
Postal address: Nomura Centre for Quantitative Finance, Mathematical Institute, 24-29 St Giles’, Oxford OX1 3LB, UK. Email address:
Postal address: Department of Accounting and Finance, Lancaster University, Management School, Lancaster LA1 4YX, UK.
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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