Path Dependent Options: The Case of Lookback Options.

Lookback options are path dependent contingent claims whose payoffs depend on the extrema of a given security's price over a certain period of time. Using probabilistic tools, the authors derive explicit formulas for various European lookback options and provide some results about their American counterparts. Copyright 1991 by American Finance Association.

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Year of publication:	1991
Authors:	Conze, Antoine ; Viswanathan
Published in:	Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 46.1991, 5, p. 1893-907
Publisher:	American Finance Association - AFA

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005334593