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Quantitative Finance · Glosarium

Apa itu Lookback option?

Definition 16.3 Derivatives and Volatility · Bab 16 — Asians, Lookbacks, Cliquets and Forward-Starts

A lookback option pays on the maximum or minimum of the underlying over its life. The floating-strike lookback call pays ST−min⁡tStS_T-\min_tS_t (buy at the low); the fixed-strike lookback call pays (max⁡tSt−K)+(\max_tS_t-K)^+.

The floating-strike lookback call (one year, 20%, r=3\%, q=1\%) by monitoring frequency: simulation, the continuous formula of Goldman, Sosin and Gatto, and the same with the extreme shifted as a barrier is. Data: the tutorial.
Figure 16.2. The floating-strike lookback call (one year, 20%, r=3%r=3\%, q=1%q=1\%) by monitoring frequency: simulation, the continuous formula of Goldman, Sosin and Gatto, and the same with the extreme shifted as a barrier is. Data: the tutorial.
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