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PRICING FLOATING-STRIKE LOOKBACK OPTIONS WITH FLEXIBLE MONITORING PERIODS

  • Lee, Hang-Suck (Dept. of Actuarial Science/Mathematics, Sungkyunkwan University)
  • 발행 : 2008.06.30

초록

A floating-strike lookback call option gives the holder the right to buy at the lowest price of the underlying asset. Similarly, a floating-strike lookback put option gives the holder the right to sell at the highest price. This paper will present explicit pricing formulas for these floating-strike lookback options with flexible monitoring periods. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. Sections 3 and 4 assume that the underlying assets pay no dividends. In contrast, Section 5 will derive explicit pricing formulas for these options when their underlying asset pays dividends continuously at a rate proportional to its price.

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참고문헌

  1. Conze, A. and Viswanathan (1991). Path dependent options: The case of lookback Options, The Journal of Finance, 46, 1893-1907 https://doi.org/10.2307/2328577
  2. Gerber, H. U. and Shiu, E. S. W. (1994). Option pricing by esscher transforms, Transactions of Society of Actuaries, 46, 99-140; Discussions 141-191
  3. Gerber, H. U. and Shiu, E. S. W. (1996). Actuarial bridges to dynamic hedging and option pricing, Insurance: Mathematics and Economics, 18, 183-218 https://doi.org/10.1016/0167-6687(96)85007-4
  4. Goldman, M. B., Sosin, H. B. and Gatto, M. A. (1979). Path dependent options: Buy at the low, sell at the high, The Journal of Finance, 34, 1111-1127 https://doi.org/10.2307/2327238
  5. Heynen, R. C. and Kat, H. M. (1994). Partial barrier options, The Journal of Financial Engineering, 3, 253-274
  6. Heynen, R. C. and Kat, H. M. (1997). Look-Back Options Pricing and Applications, InExotic Options: The State of the Art, edited by Clewlow, C. and Strickland, C., International Thomson Besiness Press, London.
  7. Lee, H. (2003). Pricing equity-indexed annuities with path-dependent options, Insurance: Mathematics and Economics, 33, 677-690 https://doi.org/10.1016/j.insmatheco.2003.09.006

피인용 문헌

  1. Pricing Outside Lookback Options with Guaranteed Floating Strike vol.19, pp.6, 2012, https://doi.org/10.5351/CKSS.2012.19.6.819