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PRICING FLOATING-STRIKE LOOKBACK OPTIONS WITH FLEXIBLE MONITORING PERIODS
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 Title & Authors
PRICING FLOATING-STRIKE LOOKBACK OPTIONS WITH FLEXIBLE MONITORING PERIODS
Lee, Hang-Suck;
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 Abstract
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.
 Keywords
Lookback option;floating strike;Brownian motion;
 Language
English
 Cited by
1.
Pricing Outside Floating-Strike Lookback Options,;

응용통계연구, 2009. vol.22. 1, pp.59-73 crossref(new window)
2.
Pricing Outside Lookback Options with Guaranteed Floating Strike,;

Communications for Statistical Applications and Methods, 2012. vol.19. 6, pp.819-835 crossref(new window)
1.
Pricing Outside Lookback Options with Guaranteed Floating Strike, Communications for Statistical Applications and Methods, 2012, 19, 6, 819  crossref(new windwow)
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