Pricing Fixed-Strike Lookback Options
- Authors
- 이항석
- Issue Date
- Aug-2004
- Publisher
- 한국통계학회
- Keywords
- Esscher transforms; fixed-strike lookback option; duality property; Brownian motion
- Citation
- Communications for Statistical Applications and Methods, v.11, no.2, pp.213 - 225
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 11
- Number
- 2
- Start Page
- 213
- End Page
- 225
- URI
- http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/20239
- ISSN
- 2287-7843
- Abstract
- A fixed-strike lookback option is an option whose payoff is determined by the maximum (or minimum) price of the underlying asset within the option's life. Under the Black-Scholes framework, the time-t price of an equity asset follows a geometric Brownian motion. Applying the method of Esscher transforms, this paper will derive explicit pricing formulas for fixed-strike lookback call and put options, respectively. In addition, this paper will show a relationship (duality property) betwen the pricing formulas of the call and put options. Finally, this paper will derive explicit pricing formulas for the fixed-strike lookback options when their underlying asset pays dividends continuously at a rate proportional to its price.
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Collections - College of Natural Sciences > Department of Statistics and Actuarial Science > 1. Journal Articles
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