Pricing Lookback Options with Knock-out Boundaries

Yoshifumi Muroi

Applied Mathematical Finance, 2006, vol. 13, issue 2, 155-190

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.

Keywords: Exotic options; lookback options; knock-out boundaries (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1080/13504860600563028

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