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Pricing Lookback Options with Knock-out Boundaries

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  • Yoshifumi Muroi

Abstract

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.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 13 (2006)
Issue (Month): 2 ()
Pages: 155-190

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Handle: RePEc:taf:apmtfi:v:13:y:2006:i:2:p:155-190

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Related research

Keywords: Exotic options; lookback options; knock-out boundaries;

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