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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Path Dependent Option

References in periodicals archive ?

A barrier option is a path-dependent option which is exterminated (knocked out) or initiated (knocked in) if the underlying spot price hits the specified barrier level during the life of the option.

Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate

(2017) [25] studied the pricing of vulnerable path-dependent options using double Mellin transforms and obtained an explicit form pricing formula or semianalytic formula in each path-dependent option.

The European Vulnerable Option Pricing with Jumps Based on a Mixed Model

This implies that the option is an ECC path-dependent option with expected outflows, due to lapses, at fixed dates.

Pricing the option to surrender in incomplete markets

As Parisian option is a path-dependent option like barrier option, the price depends on the path of an underlying asset as well as payoff at the maturity.

Pricing Parisian option under a stochastic volatility model

Things are more complicated in the case of exotic path-dependent option such as Asian power options developed in this paper whose payoff depends on the geometric or arithmetic average of the underlying asset raised to power.

Pricing Asian power options under jump-fraction process/ Tasar las opciones energeticas de Asia por el metodo de fracciones discontinuas

Things are more complicated in the case of path-dependent options. The analytical solution of the pricing problem is not available and numerical approximations must be used.

Pricing maximum-minimum bidirectional options in trinomial CEV model/Precios de opciones bidireccionales maximas-minimas en el modelo ECV trinomial

It is one kind of path-dependent options where the payoff is based on the maximum or the minimum of the underlying asset price during the drift of the option.

Lookback option pricing with fixed proportional transaction costs under fractional Brownian motion

Asian options are a kind of common strong path-dependent options, whose value depends on the average price of the underlying asset during the life of the option.

Asian option pricing with transaction costs and dividends under the fractional Brownian motion model

Linetsky, "Pricing and hedging path-dependent options under the CEV process," Management Science, vol.

Turbo warrants under hybrid stochastic and local volatility

Kou, 1999, "Connecting Discrete and Continuous Path-Dependent Options," Finance and Stochastics, 3, 55-82.

A few insights into cliquet options

Yen, "Pricing discrete path-dependent options under a double exponential jump-diffusion model," Journal of Banking and Finance, vol.

Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment

Chapter 15 looks at advanced derivative designs and strategies including portfolio insurance, customized products, and exotic options such as binary and path-dependent options. Finally, the book ends with a chapter entitled "Financial Risk Management," which discusses the structure of the derivatives industry (d ealers) and miscellaneous issues, including accounting for derivatives.