A NEW METHOD OF PRICING LOOKBACK OPTIONS

DOI10.1111/J.0960-1627.2005.00219.XMaRDI QIDQ3370588zbMATH OpenOpenAlexFDO

Authors Peter W. Buchen, Otto Konstandatos

Publication date 8 February 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2005.00219.x

zbMATH Keywords

option pricingmethod of imagesbarrier optionsexotic optionslookback options

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1238161 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The Mathematics of Financial Derivatives

Cited in

(29)

• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
• Lookback option pricing under the double Heston model using a deep learning algorithm
• Pricing Lookback Options with Knock‐out Boundaries
• An analytic pricing formula for lookback options under stochastic volatility
• Lookback options pricing when parameters depend on stock price
• Outside barrier lookback options with floating strike
• Monte Carlo method for pricing lookback type options in Lévy models
• Pricing of American lookback spread options
• Lookback options with discrete and partial monitoring of the underlying price
• scientific article; zbMATH DE number 5811804 (Why is no real title available?)
• Binomial valuation of lookback options
• Pricing of the looking back-reset option with barrier
• Pricing of fixed-strike lookback options on assets with default risk
• Lookback option pricing for regime-switching jump diffusion models
• Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
• QUANTO LOOKBACK OPTIONS
• Back to basics: historical option pricing revisited
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Two Exotic Lookback Options
• CLA's, PLA's and a new method for pricing general passport options
• Random walk duality and the valuation of discrete lookback options
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Mathematical analysis of pricing of lookback performance options
• Lookback options and diffusion hitting times: a spectral expansion approach
• A general approach for lookback option pricing under Markov models
• Integral price formulas for lookback options
• Pricing of lookback options under stochastic interest rates
• The pricing of dynamic fund protection with default risk

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