Path-dependent option

Path-dependent option

An option whose value depends on the sequence of prices of the underlying asset rather than just the final price of the asset.

Path Dependent Option

An option contract whose price is determined according to some formula involving the price of the underlying asset over time. Most options have prices that are dependent upon the value of the underlying asset at the time the option is exercised. A path dependent option, on the other hand, uses a more complex formula. For example, in some Asian options, the strike price is the average of the prices of the underlying asset over the life of the contract.
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References in periodicals archive ?
This implies that the option is an ECC path-dependent option with expected outflows, due to lapses, at fixed dates.
Their model is general enough to deal with any complex final payoff generated by European path-dependent options.
Kou, 1999, "Connecting Discrete and Continuous Path-Dependent Options," Finance and Stochastics, 3, 55-82.
Yamamoto, 2005, "A Double-exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-dependent Options," Operations Research, vol.
The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation
Chapter 15 looks at advanced derivative designs and strategies including portfolio insurance, customized products, and exotic options such as binary and path-dependent options.
Pricing Path-Dependent Options in a Backward Algorithm