UNSPECIFIED (2000) Binomial valuation of lookback options. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 24 (11-12). pp. 1499-1525. ISSN 0165-1889

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Abstract

We present a straightforward and computationally efficient binomial approximation scheme for the valuation of lookback options. This enables us to value American lookback options. Previous research on lookback options has assumed that the contracts are based on the extrema of the continuously observed price of the underlying security; in practice, however, contracts are often based on the extrema of prices sampled at a finite set of fixed dates. We adapt our binomial scheme to investigate the impact on the value of the options. (C) 2000 Elsevier Science B.V. All rights reserved.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	JOURNAL OF ECONOMIC DYNAMICS & CONTROL
Publisher:	ELSEVIER SCIENCE BV
ISSN:	0165-1889
Date:	October 2000
Volume:	24
Number:	11-12
Number of Pages:	27
Page Range:	pp. 1499-1525
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/13000

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