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Binomial valuation of lookback options
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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 | ||||
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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 | ||||
Official Date: | October 2000 | ||||
Dates: |
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Volume: | 24 | ||||
Number: | 11-12 | ||||
Number of Pages: | 27 | ||||
Page Range: | pp. 1499-1525 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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