A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH
نویسندگان
چکیده
منابع مشابه
A Closed-form Solution for Lookback Options Using Mellin Transform Approach
Lookback options, in the terminology of finance, are a type of exotic option with path dependency whose the payoff depends on the optimal (maximum or minimum) underlying asset’s price occurring over the life of the option. In this paper, we exploit Mellin transform techniques to find a closed-form solution for European lookback options in BlackScholes model.
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ژورنال
عنوان ژورنال: East Asian mathematical journal
سال: 2016
ISSN: 1226-6973
DOI: 10.7858/eamj.2016.022