论文信息 - Path Dependent Options: The Case of Lookback Options

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.

A. Conze | Viswanathan

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