Path Dependent Options: The Case of Lookback Options

Antoine Conze and Viswanathan

Journal of Finance, 1991, vol. 46, issue 5, 1893-907

Abstract: Lookback options are path dependent contingent claims whose payoffs depend on the extrema of a given security's price over a certain period of time. Using probabilistic tools, the authors derive explicit formulas for various European lookback options and provide some results about their American counterparts. Copyright 1991 by American Finance Association.

Date: 1991
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