East Asian mathematical journal

The Youngnam Mathematical Society (영남수학회)
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A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH

  • Jeon, Junkee (Department of Mathematical Sciences, Seoul National University) ;
  • Yoon, Ji-Hun (Department of Mathematics, Pusan National University)
  • Received : 2015.11.25
  • Accepted : 2015.12.01
  • Published : 2016.05.31
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Abstract

Lookback options, in the terminology of nance, are a type of exotic option with path dependency whose the payoff depends on the optimal (maximum or minimum) underlying asset's price occurring over the life of the option. In this paper, we exploit Mellin transform techniques to find a closed-form solution for European lookback options in Black-Scholes model.

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