#TITLE_ALTERNATIVE#
ABSTRACT: <br /> <br /> <br /> <br /> <br /> Lookback options are path-dependent options that depend on the maximum or minimum of the underlying asset prices attained over a certain period of time (called lookback period). It can be classified into types: floating...
Saved in:
| Main Author: | |
|---|---|
| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/6936 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | ABSTRACT: <br />
<br />
<br />
<br />
<br />
Lookback options are path-dependent options that depend on the maximum or minimum of the underlying asset prices attained over a certain period of time (called lookback period). It can be classified into types: floating strike and fixed strike which each of it has its own characteristics. As usual, each type has two kinds of exercise time which are the European and American kinds. This work discusses the analytical and numerical approaches for the European lookback options pricing. For the American lookback options, the options pricing is only done numerically due to the lack of analytical formulas. Furthermore, the numerical approach that is used in this work is the binomial method. |
|---|