Integral price formulas for lookback options

Chenglong Xu and Yue Kuen Kwok

Journal of Applied Mathematics, 2005, vol. 2005, 1-9

Abstract:

We derive an integral representation of the price formulas for European options whose terminal payoff involves path-dependent lookback variable. The intricacies in the derivation procedures using the partial differential equation techniques stem from the degenerate nature of the pricing models, where the lookback state variables appear only in the auxiliary conditions but not in the governing differential equations. We also derive a parity relation between the price functions of the floating strike and fixed strike lookback options.

Date: 2005
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/JAM/2005/945285.pdf (application/pdf)
http://downloads.hindawi.com/journals/JAM/2005/945285.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:945285

DOI: 10.1155/JAM.2005.117

Access Statistics for this article

More articles in Journal of Applied Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().