Add to ORKGThe rapid development of new generations of risk-management products reflects a logical market response to a number of factors, the central issue among them being volatility. In this paper we focus on the pricing of the lookback spread option and the joint quanto lookback spread option. The lookback spread options try to capture price volatility. We find an analytical formula for the lookback spread option and use the techniques developed to price the joint quanto lookback spread option. We observe that when the option is in-the-money at the current time the analytical price can be obtained. If the lookback spread option is out-of-the-money at the current time we resort to the Forward Shooting Grid method to evaluate the option price
This paper gives analytical formulas for lookback and barrier options on underlying assets that are ...
We derive an integral representation of the price formulas for European options whose terminal payof...
A spread option is an option written on the difference of two underling assets, whose values at time...
The lookback feature in a quanto option refers to the payoff structure where the terminal payoff of ...
AbstractIn this work, an analytic pricing formula for floating strike lookback options under Heston’...
Lookback-style derivatives are contingent claims whose payoff depends on the extremum value of some ...
A lookback option gives the option holder the right but not the obligation to buy the underlying ass...
Lookback options are path dependent options designed for the investors who can have the best possibl...
We present a straightforward and computationally efficient binomial approximation scheme for the val...
In this paper we present two methods for the pricing of Target Volatility Options (TVOs), a recent m...
MasterThere are many types of exotic options on underlying assets in financial markets. Payoff of lo...
This thesis investigates computational methods for pricing complex path-dependent derivative securit...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
This study proposes a strategy to make the lookback option cheaper and more practical, and suggests ...
In this paper we present two methods for the pricing of Target Volatility Options (TVOs), a recent ...
This paper gives analytical formulas for lookback and barrier options on underlying assets that are ...
We derive an integral representation of the price formulas for European options whose terminal payof...
A spread option is an option written on the difference of two underling assets, whose values at time...
The lookback feature in a quanto option refers to the payoff structure where the terminal payoff of ...
AbstractIn this work, an analytic pricing formula for floating strike lookback options under Heston’...
Lookback-style derivatives are contingent claims whose payoff depends on the extremum value of some ...
A lookback option gives the option holder the right but not the obligation to buy the underlying ass...
Lookback options are path dependent options designed for the investors who can have the best possibl...
We present a straightforward and computationally efficient binomial approximation scheme for the val...
In this paper we present two methods for the pricing of Target Volatility Options (TVOs), a recent m...
MasterThere are many types of exotic options on underlying assets in financial markets. Payoff of lo...
This thesis investigates computational methods for pricing complex path-dependent derivative securit...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
This study proposes a strategy to make the lookback option cheaper and more practical, and suggests ...
In this paper we present two methods for the pricing of Target Volatility Options (TVOs), a recent ...
This paper gives analytical formulas for lookback and barrier options on underlying assets that are ...
We derive an integral representation of the price formulas for European options whose terminal payof...
A spread option is an option written on the difference of two underling assets, whose values at time...