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.
