The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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PRICING FLOATING-STRIKE LOOKBACK OPTIONS WITH FLEXIBLE MONITORING PERIODS

  • Lee, Hang-Suck (Dept. of Actuarial Science/Mathematics, Sungkyunkwan University)
  • Published : 2008.06.30
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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.

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References

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Cited by

  1. Pricing Outside Lookback Options with Guaranteed Floating Strike vol.19, pp.6, 2012, https://doi.org/10.5351/CKSS.2012.19.6.819