Lookback Options

Lookback options are a type of exotic option where the payoff is based on the maximum or minimum price of the underlying asset over the period of the contract.

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.

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.

Choi and Jameson (2003) 提出了一個簡單的方法建構回顧選擇權的單狀態變數二項模型, 但他們只考慮了歐式選擇權, 忽略了兩種重要的延伸--- 美式選擇權以及觀察頻率。 而且 ...

An option that allows the buyer to choose as the option strike price any price of the underlying asset that has occurred during the life of the option. For a ...

在衍生性金融商品的市場上，回顧選擇權（Lookback Option）是最能符合保護進出場時機的需求；但回顧選擇權的過於昂貴，卻使其市場性備受限制。回顧選擇權一方面是投資人的 ...

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.

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 ...