Closed-form solutions for valuing partial lookback options with random initiation

被引：2
|
作者：
Kim, Geonwoo [1 ]
Jeon, Junkee [2 ]
机构：
[1] Seoul Natl Univ Sci & Technol, Sch Liberal Arts, 232 Gongneung Ro, Seoul 01811, South Korea
[2] Seoul Natl Univ, Dept Math Sci, Seoul 08826, South Korea
来源：
FINANCE RESEARCH LETTERS | 2018年 / 24卷
基金：
新加坡国家研究基金会;
关键词：
Partial lookback option; Random initiation; Closed-form solution; STOCHASTIC VOLATILITY; PRICING LOOKBACK;
D O I：
10.1016/j.frl.2017.09.019
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we propose new types of partial lookback options, where the underlying asset price has to cross a predetermined barrier to activate the standard lookback option. Reflection principle and Girsanov theorem are used to derive the closed-form pricing formulas for the partial lookback options with random initiation. We also verify our pricing formulas by comparing it with the Monte Carlo simulation results and provide the experiment results with graphs to illustrate the properties of the proposed options with respect to parameters.
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页码：321 / 327
页数：7
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