Valuation of Discrete Lookback-Style Maximum or Minimum Option of Multiple Assets
Date Issued
2005
Date
2005
Author(s)
Chen, Jung-Ying
DOI
en-US
Abstract
There are two contributions in this article. The first is to offer a general
version of martingale pricing method to value the class of options whose
payoffs depend on historical prices of multiple assets.
The second is to derive a Black-Scholes-type closed form formula of options
on the maximum or minimum of multiple assets’ discrete lookback
prices. In addition, the formula is able to degenerate to the one for options
on the maximum or minimum of multiple assets in Johnson (1987) and the
one for discrete lookback option for one asset in Heynen and Kat (1995).
Subjects
離散回顧選擇權
多資產極值選擇權
lookback option
maximum or minimum of multiple assets
Type
thesis
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