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

By Vicky Henderson, Rafal Wojakowski. Journal of Applied Probability, 2002

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Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “As for floating strike options, symmetry results between floating and fixed strike Asian options were first shown to exist in Hoogland and Neumann [2000a], and later in Henderson and Wojakowski [2002] and Vanmaele et al.”
Equivalence of floating and fixed strike Asian and lookback options (2005, methodology): “19 in Jacod and Shiryaev (2003), we deduce that a Lévy process (PIIS) remains a Lévy process under the measure ĨP, because the processes β and Y are deterministic and Y is independent of t. As a consequence of Girsanov’s theorem for semimartingales we infer that W̃t = Wt−σt is a ĨP-Brownian motion a”
Bounds for the price of discrete arithmetic Asian options (2006, unknown): “Henderson and Wojakowski (2002) have obtained symmetry results between the floating and fixed strike Asian options in the forward starting case of continuous averaging.”
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “While our focus is primarily on fixed-strike Asian options, it would be very interesting to extend the results of Henderson and Wojakowski (2002), and of Eberlein and Papapantoleon (2005) to price floating-strike Asian options under stochastic volatility framework (see also Table 2 Asian call…”