Pricing lookback options with knock-out boundaries

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

In the last decade, many kinds of exotic options have been traded and introduced in the financial market. This paper describes a new kind of exotic option, lookback options with knock-out boundaries. These options are knock-out options whose pay-offs depend on the extrema of a given securities price over a certain period of time. Closed form expressions for the price of seven kinds of lookback options with knock-out boundaries are obtained in this article. The numerical studies have also been presented.

Original languageEnglish
Pages (from-to)155-190
Number of pages36
JournalApplied Mathematical Finance
Volume13
Issue number2
DOIs
Publication statusPublished - 2006 Jun 1
Externally publishedYes

Keywords

  • Exotic options
  • Knock-out boundaries
  • Lookback options

ASJC Scopus subject areas

  • Finance
  • Applied Mathematics

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