A NEW METHOD OF PRICING LOOKBACK OPTIONS

DOI10.1111/J.0960-1627.2005.00219.XzbMATH Open1153.91468OpenAlexW2081127909MaRDI QIDQ3370588FDOQ3370588

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

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zbMATH Keywords

option pricingmethod of imagesbarrier optionsexotic optionslookback options

Mathematics Subject Classification ID

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The Mathematics of Financial Derivatives
• Title not available (Why is that?)

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• 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
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

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