Uncertain strike lookback options pricing with floating interest rate

Lidong Zhang (), Yanmei Sun (), Ziping Du () and Xiangbo Meng ()
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Lidong Zhang: Tianjin University of Science and Technology
Yanmei Sun: Tianjin University of Science and Technology
Ziping Du: Tianjin University of Science and Technology
Xiangbo Meng: Tianjin University of Science and Technology

Review of Derivatives Research, 2021, vol. 24, issue 1, No 4, 79-94

Abstract: Abstract Considering the floating interest rate and the uncertainty of the strike price, we derive the pricing formulas of lookback options including lookback call option and lookback put option. Furthermore, we give the numerical algorithms to illustrate our results and analyze the relationships between the price of lookback options and all the parameters.

Keywords: Uncertain process; Floating interest rate; Uncertain strike price; Lookback option (search for similar items in EconPapers)
JEL-codes: C13 G23 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11147-020-09170-4

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