한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2005년도 추계 학술발표회 논문집
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- Pages.153-158
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- 2005
PRICING FLOATING-STRIKE LOOKBACK OPTIONS
- Lee, Hang-Suck (Department of Statistics and Actuarial Science, Soongsil University)
- 발행 : 2005.11.04
초록
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 derive 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.