Path Dependent Options: The Case of Lookback Options
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- Author(s): ANTOINE CONZE, VISWANATHAN
- Published: Apr 30, 2012
- Pages: 1893-1907
- DOI: 10.1111/j.1540-6261.1991.tb04648.x
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, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts.