TY - JOUR
T1 - Pricing lookback options with knock-out boundaries
AU - Muroi, Yoshifumi
PY - 2006/6/1
Y1 - 2006/6/1
N2 - In the last decade, many kinds of exotic options have been traded and introduced in the financial market. This paper describes a new kind of exotic option, lookback options with knock-out boundaries. These options are knock-out options whose pay-offs depend on the extrema of a given securities price over a certain period of time. Closed form expressions for the price of seven kinds of lookback options with knock-out boundaries are obtained in this article. The numerical studies have also been presented.
AB - In the last decade, many kinds of exotic options have been traded and introduced in the financial market. This paper describes a new kind of exotic option, lookback options with knock-out boundaries. These options are knock-out options whose pay-offs depend on the extrema of a given securities price over a certain period of time. Closed form expressions for the price of seven kinds of lookback options with knock-out boundaries are obtained in this article. The numerical studies have also been presented.
KW - Exotic options
KW - Knock-out boundaries
KW - Lookback options
UR - http://www.scopus.com/inward/record.url?scp=33845231946&partnerID=8YFLogxK
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U2 - 10.1080/13504860600563028
DO - 10.1080/13504860600563028
M3 - Article
AN - SCOPUS:33845231946
SN - 1350-486X
VL - 13
SP - 155
EP - 190
JO - Applied Mathematical Finance
JF - Applied Mathematical Finance
IS - 2
ER -