Pricing of Fixed-Strike Lookback Options on Assets with Default Risk

On the Lookback Option with Fixed Strike

The lookback option with fixed strike in the case of finite horizon was examined with help of the solution to the optimal stopping problem for a three-dimensional Markov process in [1]. The purpose of this paper is to illustrate another derivation of the solution in [1]. The key idea is to use the Girsanov change-of-measure theorem which allows to reduce the three-dimensional optimal stopping p...

Equivalence of Floating and Fixed Strike Asian and Lookback Options

We prove a symmetry relationship between floating-strike and fixed-strike Asian options for assets driven by general Lévy processes using a change of numéraire and the characteristic triplet of the dual process. We apply the same technique to prove a similar relationship between floating-strike and fixed-strike lookback options.

The British Lookback Option with Fixed Strike

Pricing Moving-Average-Lookback Options

This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometricand arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our methodology can be easily modi ed to price similarly structured options issued by other securities rms. The moving-average-lookback option is a call optio...

Regret Minimization Algorithms for Pricing Lookback Options

In this work, we extend the applicability of regret minimization to pricing financial instruments, following the work of [10]. More specifically, we consider pricing a type of exotic option called a fixed-strike lookback call option. A fixed-strike lookback call option has a known expiration time, at which the option holder has the right to receive the difference between the maximal price of a ...