Lookback option

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Lookback option

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 call option, the buyer will choose the minimum price; for a put option, the buyer will choose the maximum price. This option will always be in the money.

Lookback Option

An option contract where the holder is permitted to choose the strike price. That is, the buyer of a lookback call may choose a low strike price and the buyer of a lookback put may choose a high one. A lookback option is always in the money.
References in periodicals archive ?
Many exotic options, including binary options, lookback options, and "as-you-like-it" options center around the interests of speculators rather than hedgers, although hedging is, in actuality, the most elementary function of options.
The second example is lookback options, which illustrates the use of the simulation method in Section 2.5.
In this section we present the American lookback options factorization formula and the optimal exercise boundary.
Subsequently, he extended Babbs method on the basis of Black-Scholes model to construct a trinomial tree method for evaluating the lookback options under the CEV model, as was translated into Chinese by He (2001).
Kat, "Lookback options with discrete and partial monitoring of the underlying price," Applied Mathematical Finance, vol.
European floating strike lookback options are a different interesting kind of GULC.
In terms of accuracy of the approximation, we note that the error estimates for barrier and lookback options have been obtained by Park and Kim [21] for the CEV model.
After reviewing the technical background, he covers simple exotic options, dual expiry options, two-asset rainbow options, barrier options, lookback options, Asian options, and exotic multi-options.
It may refer either to a subset of the lookback options characterized by a small number of fixing dates that are not necessarily uniformly spaced, or to portfolios of forward start options.
Therefore, we make use of the probability density function for discrete lookback options in AitSahlia and Lai (1998) to develop our pricing and hedging formulas for the discrete dynamic guaranteed fund.
Vorst, 1997, "Currency Lookback Options and Observation Frequency--A Binomial Approach", Journal of International Money and Finance, 16:173-187
Kwok, "Characterization of optimal stopping regions of American Asian and lookback options," Mathematical Finance, vol.