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http://dx.doi.org/10.7858/eamj.2016.022

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)
Publication Information
East Asian mathematical journal / v.32, no.3, 2016 , pp. 301-310 More about this Journal
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.
Keywords
Floating lookback option; Method of images; Mellin transform;
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