Two Exotic Lookback Options

DOI10.1080/13504860802012824MaRDI QIDQ3523661zbMATH OpenOpenAlexFDO

Authors Hans-Peter Bermin, Peter W. Buchen, Otto Konstandatos

Publication date 5 September 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860802012824

zbMATH Keywords

barrier optionsexotic optionslookback optionsmethod of imagesoption pricing

Mathematics Subject Classification ID

Recommendations

• A NEW METHOD OF PRICING LOOKBACK OPTIONS
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Cited in

(8)

• Robust hedging of the lookback option
• Outside barrier lookback options with floating strike
• Double lookbacks
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• Pricing Lookback Options with Knock‐out Boundaries
• The pricing of dual-expiry exotics
• QUANTO LOOKBACK OPTIONS
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

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