JOURNAL BROWSE
Search
Advanced SearchSearch Tips
Pricing Outside Floating-Strike Lookback Options
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Pricing Outside Floating-Strike Lookback Options
Lee, Hang-Suck;
  PDF(new window)
 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 propose an outside floating-strike lookback call (or put) option that gives the holder the right to buy (or sell) one underlying asset at some percentage of the lowest (or highest) price of the other underlying asset. In addition, this paper will derive explicit pricing formulas for these outside floating-strike lookback options. 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 assets pay dividends continuously at a rate proportional to their prices. Some numerical examples will be discussed.
 Keywords
Outside floating-strike;lookback option;Brownian motion;
 Language
English
 Cited by
1.
Pricing Outside Lookback Options with Guaranteed Floating Strike,;

Communications for Statistical Applications and Methods, 2012. vol.19. 6, pp.819-835 crossref(new window)
2.
중국의 치미병사업에 관한 고찰,이은경;송애진;정명수;

대한예방한의학회지, 2014. vol.18. 2, pp.47-58
1.
Pricing Outside Lookback Options with Guaranteed Floating Strike, Communications for Statistical Applications and Methods, 2012, 19, 6, 819  crossref(new windwow)
 References
1.
Conze, A. and Viswanathan (1991). Path dependent options: The case of lookback options, Journal of Finance, 46, 1893-1907 crossref(new window)

2.
Gerber, H. U. and Shiu, E. S. W. (1994). Option pricing by Esscher transforms, Transactions of Society of Actuaries, 46, 99-191

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 crossref(new window)

4.
Goldman, M. B., Sosin, H. B. and Gatto, M. A. (1979). Path dependent options: 'Buy at the low, sell at the high', Journal of Finance, 34, 1111-1127 crossref(new window)

5.
Heynen, R. C. and Kat, H. M. (1994). Selective memory, Risk Magazine, 7, 73-76

6.
Heynen, R. C. and Kat, H. M. (1997). Lookback Options - Pricing and Applications in Exotic Options: The State of the Art, International Thomson, London

7.
Lee, H. (2004). A joint distribution of two-dimensional Brownian motion with an application to an outside barrier option, Journal of the Korean Statistical Society, 33, 245-254

8.
Lee, H. (2008). Pricing floating-strike lookback options with flexible monitoring periods, The Korean Journal of Applied Statistics, 21,485-496 crossref(new window)