lookbackoption

由 顏汝芳 著作 · 2007 — A lookback option introduced in 1979 by Goldman et al. is a path dependent option settles based upon the maximum or minimum of the underlying price process ...

Lookback option: An option whose payoff is Based on the. maximum that the ... interval of time prior to expiration. Lookback option Fixed Strike Lookback Option.

Lookback call (resp. put) options are financial derivatives that allow their holders to exercise the option by setting the strike price at the minimum.

回顧式期權（Lookback Option）回顧式期權是讓持有人在期權到期時,能以期權有效期內標的資產曾出現過的最有利價格行使權利。標的資產是指行使期權時可以買進或賣出的 ...

A lookback option allows the holder to exercise an option at the most beneficial price of the underlying asset, over the life of the option.

Lookback options, in the terminology of finance, are a type of exotic option with path dependency, among many other kind of options. The payoff depends on ...

This chapter introduces the analytic solution, Monte Carlo simulation, binomial tree model, and finite difference method to price lookback options.

原理是通過選擇監測日的子集，回溯條件會變弱，降低溢價。例子包括Heynen 和Kat 提出的部分回溯選項，以及Chang 和Li 提出的失憶症回溯選項。在連續假設下，離散的部分路徑 ...

由 呂逸新 著作 · 2010 — This thesis concentrates on the pricing problem of lookback options whose values depend on the extreme price of the underlying asset. We provided a ...

A lookback option is a derivative whose payoff depends on the maximum or minimum price of the underlying asset realized before expiry. The payoff is path ...