• Lookback Option Pricing

    Author(s):
    Tim Xiao (see profile)
    Date:
    2021
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Permanent URL:
    http://dx.doi.org/10.17613/8vrv-fn26
    Abstract:
    A lookback option gives the option holder the right but not the obligation to buy the underlying asset at the lowest price. It pays a single call-option-style payoff based on the performance of the underlying asset’s final price relative to its initial price, where both the initial and final prices are computed using a lookback formula.
    Notes:
    https://gitlab.com//cmrm11/eqlookback/-/raw/master/EqLookback-10.pdf
    Metadata:
    xml
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted

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