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A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH

Jeon, Junkee;Yoon, Ji-Hun

  • Received : 2015.11.25
  • Accepted : 2015.12.01
  • Published : 2016.05.31

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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Acknowledgement

Supported by : Pusan National University