Journal article

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

Publication status:: Published

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APA Style

Henderson, V., & Wojakowski, R. (2002). On the equivalence of floating- and fixed-strike Asian options. JOURNAL OF APPLIED PROBABILITY, 39(2), 391–394.

MLA Style

Henderson, V, and R Wojakowski. “On the Equivalence of Floating- and Fixed-Strike Asian Options.” JOURNAL OF APPLIED PROBABILITY, vol. 39, no. 2, 2002, pp. 391–94.

Chicago Style

Henderson, V, and R Wojakowski. 2002. “On the Equivalence of Floating- and Fixed-Strike Asian Options.” JOURNAL OF APPLIED PROBABILITY 39 (2): 391–94.
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Authors

+ Henderson, V More by this author

Institution:: University of Oxford
Division:: SSD
Department:: Divisional Administration
Sub department:: Oxford-Man Institute
Role:: Author

+ Wojakowski, R More by this author

Role:: Author

Journal:: JOURNAL OF APPLIED PROBABILITY More from this journal
Volume:: 39
Issue:: 2
Pages:: 391-394
Publication date:: 2002-06-01
ISSN:: 0021-9002

Keywords:: Asian option

Brownian motion

time reversal

change of numeraire

put call symmetry

floating-strike Asian option
Pubs id:: pubs:325001
UUID:: uuid:1c24deb9-5d0a-4c75-8b88-9465e44dc897
Local pid:: pubs:325001
Source identifiers:: 325001
Deposit date:: 2012-12-19
ARK identifier:: ark:/29072/ora_1c24deb95d0a4c758b889465e44dc897

Terms of use

Copyright date:: 2002

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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