Kwok, "Characterization of optimal stopping regions of American Asian and
lookback options," Mathematical Finance, vol.
They obtained explicit formulas of various European lookback options and also provided some results for the American counterparts by means of probability method.
Viswanathan, "Path dependent options, the case of lookback options," The Journal of Finance, vol.
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.
Generally speaking, cliquet options are appealing to investors because they inherit, at least partially, the very attractive payoff of lookback options, while rendering it both more affordable and more flexible, thanks to the decrease in the updating frequency of the running extremum of the underlying asset price, as well as to the possible partial and non uniform spanning of the option life.
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
In this article, both jump risk and volatility risk are considered for risk management of
lookback options embedded in guarantees with a ratchet feature.
In particular, it can be used to value the long-term American options and American exotic options, such as
lookback options and Asian options, to a high degree of accuracy.
