Outside barrier lookback options with floating strike

2021 ◽  
Author(s):  
Gaeun Lee ◽  
Hangsuck Lee ◽  
Yang Ho Choi
Keyword(s):  
Lookback Options

Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options

2003 ◽  
Vol 13 (1) ◽  
pp. 99-113 ◽  
Author(s):  
Guillaume Bernis ◽  
Emmanuel Gobet ◽  
Arturo Kohatsu-Higa
Keyword(s):  
Monte Carlo ◽  
Lookback Options ◽  
Monte Carlo Evaluation

Semistatic hedging and pricing American floating strike lookback options

2018 ◽  
Author(s):  
San‐Lin Chung ◽  
Yi‐Ta Huang ◽  
Pai‐Ta Shih ◽  
Jr‐Yan Wang
Keyword(s):  
Lookback Options

scholarly journals Pricing Exotic Options under a High-Order Markovian Regime Switching Model

2007 ◽  
Vol 2007 ◽  
pp. 1-15 ◽  
Author(s):  
Wai-Ki Ching ◽  
Tak-Kuen Siu ◽  
Li-Min Li
Keyword(s):  
Regime Switching ◽  
Order Effect ◽  
High Order ◽  
Martingale Measure ◽  
Exotic Options ◽  
Lookback Options ◽  
Path Dependent ◽  
Markovian Regime Switching ◽  
The Impact ◽  
Markovian Regime

We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM). We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.

scholarly journals CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

2014 ◽  
Vol 17 (04) ◽  
pp. 1450025 ◽  
Author(s):  
FABIEN HEUWELYCKX
Keyword(s):  
Interest Rate ◽  
Binomial Model ◽  
Black Scholes Model ◽  
Lookback Options ◽  
Lookback Option ◽  
Black Scholes ◽  
Double Sum

In this paper, we study the convergence of a European lookback option with floating strike evaluated with the binomial model of Cox–Ross–Rubinstein to its evaluation with the Black–Scholes model. We do the same for its delta. We confirm that these convergences are of order [Formula: see text]. For this, we use the binomial model of Cheuk–Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin–Palmer, we are able to give the precise value of the term in [Formula: see text] in the expansion of the error; we also obtain the value of the term in 1/n if the risk free interest rate is nonzero. This modelization will also allow us to determine the first term in the expansion of the delta.

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