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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...
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id-itb.:69362017-09-27T11:43:02Z#TITLE_ALTERNATIVE# (NIM 10103030), Yohanna Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/6936 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. text |
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ABSTRACT: <br />
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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. |
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(NIM 10103030), Yohanna #TITLE_ALTERNATIVE# |
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(NIM 10103030), Yohanna |
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(NIM 10103030), Yohanna |
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