They derived the explicit solutions of lookback put option pricing formula.
Then a three-dimensional nonlinear mathematical pricing model for lookback put option value with fixed transaction costs will be established.
The Valuation of Lookback Put Option with Transaction Costs under fBm
The following theorem gives the model for the value of lookback put option with transaction costs.
The pricing model for the value of lookback put option with transaction costs under fractional Brownian motion process is given as
2) Longstaff (1995) obtains an upper bound on the marketability discount consistent with this range by modeling the value of marketability as the price of a lookback put option.
Section VI furnishes evidence that the marketability discounts predicted by the average-strike put option model are more consistent with empirical private placement discounts than those predicted by the lookback put option model after adjusting for ownership concentration, information, and overvaluation effects.
Longstaff (1995) models the marketability discount as a lookback put option whose value depends upon stock volatility and the time to expiration of the transfer restrictions.
Longstaff (1995) proposes a lookback put option model, and Finnerty (2012) proposes an average-strike put option model that can be used to quantify the loss of timing flexibility.
The benefit of GMDB with a ratchet feature equals the account value plus a lookback put option
with payoff [[PI].
A lookback put option
allows the owner to sell the underlying asset at the highest price during the life of the put option.
Table 9 Comparison of American lookback put option
values using alternative approaches: zero dividend case (K = 40) S [sigma] T r [P.