Quantitative Finance: Vol. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): The main objective of this paper is to develop an adaptive finite element method for computation of the values and different sensitivity measures of ordinary European options, barrier options, and lookback options. Goldman et al. put) options are financial derivatives which allow their holders to exercise the option Numerisk prissättning av exotiska optioner En undersökning av asiatiska, barriär- och lookback-optioner med Monte Carlo- och Crank-Nicolson-metoden Examensarbete för kandidatexamen i matematik vid Göteborgs universitet Kandidatarbete inom civilingenjörsutbildningen vid Chalmers Kasper Bågmark Emil Carlsson Victor Ebberstein Nadja Grochevaia Pricing exotic options or guarantees in equity-indexed annuities can be problematic. Essentially, at expiration the holder can look back (hence the name) at how the price of the underlying asset has performed and maximize their profits by taking advantage of the biggest price differential between the strike price and the price of the underlying asset. Keywords: Lookback option pricing, Fourier transform, B-spline interpolation, Spitzer formula, jump diffusion, variance gamma 1. options option-pricing black-scholes risk-neutral-measure exotics lookback options written on dividend-paying assets under a stochastic volatility model. PDE for which the relative price of an American floating strike lookback option must follow. Game option. Math-ematically, the pricing American lookback option can be formulated into the free boundary ... this PDE into an ODE. A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.. Financial Instruments Toolbox™ software supports two types of lookback options: fixed and floating. A PDE approach is described in Chapter 12 of [27]. Lookback Put Option A put option giving the holder the right (but not the obligation) to sell the underlying asset on or by the expiration date at the highest price that occurs between the start of the option and the time it is exercised. 1. Watch this video and more on FinMath Simplified Chapter 12 Lookback Options Lookback call (resp. Loopback processing of Group Policy. Chan [] investigated the valuation of lookback options under a multiscale stochastic volatility model driven by a fast-mean reverting process and a slow-varying volatility process.Furthermore,theynotedthatthelookbackoption features appear in many insurance products. That is, there is no end to the period into which the owner can look back. (2014). Lookback options, in the terminology of finance, are a type of exotic option with path dependency, among many other kind of options.The payoff depends on the optimal (maximum or minimum) underlying asset's price occurring over the life of the option. However this one-dimensional PDE is difficult to solve numerically since the diffusion term is very small for values of interest on ... lookback and the Asian option, again using Rogers and Shi’s reduction. Fixed lookback options have a specified strike price, while floating lookback options have a strike price determined by the asset path. A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.. Financial Instruments Toolbox™ software supports two types of lookback options: fixed and floating. 14, No. It uses PDE (Partial Differential Equation) approach with continuous payment of dividend. 1.1 Barrier and lookback options A standard (also called floating) lookback call (put) gives the option holder the right to buy (sell) an asset at its lowest (highest) price during the life of the option. We derive pricing formulas for a variety of full and partial lookback options, where monitoring takes place at not necessarily equally-spaced points in time. Finally, a numerical price was obtained by using the Gaver-Stehefest 09/08/2020; 3 minutes to read; D; S; In this article. In other words, the payoffs of the floating lookback call and put options are S(T)−m0T and M0T −S(T), respectively, where m0T and M0T We show that in the world of Black and Scholes (1973) lookback options where the underlying price is monitored discretely instead of continuously can be priced in semi-closed form. 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