Show that the put-call parity relations between the prices of floating strike and fixed strike Asian options at the start of the averaging period are given by 

By combining the above put-call parity relations with the fixed-floating symmetry relation between c_fℓ and p_fix , deduce the following symmetry relation between c_fix and p_fℓ:

Transcribed Image Text:

S(e-qT -e-T) (r - q) T S(e-qT-erT) (r - q) T Pfe (So, λ, r, q, T) - cfe (So, λ, r, q, T) = Cfix (X, So, r, q, T) - Pfix (X, So, r, q, T) = - λSo - e-rT X.