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Pricing Lookback Options with Knock-out Boundaries

Author

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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.

Suggested Citation

  • Yoshifumi Muroi, 2006. "Pricing Lookback Options with Knock-out Boundaries," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 155-190.
  • Handle: RePEc:taf:apmtfi:v:13:y:2006:i:2:p:155-190
    DOI: 10.1080/13504860600563028
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    Cited by:

    1. Kensuke Ishitani, 2016. "Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals," Papers 1611.05194, arXiv.org, revised Dec 2016.

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