Lookback options are path dependent options designed for the investors who can have the best possible payoffs by their anticipation. This paper focuses on the American floating strike lookback options. Besides, it presents a systematic framework to derive an analytic perpetual American floating strike lookback pricing formula and two approximate formulas for the pricing of American floating strike lookback options. The trinomial scheme is also used to compute the numerical approximate values for the American lookback options.
| Date of Award | 2000 |
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| Original language | English |
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| Awarding Institution | - The Hong Kong University of Science and Technology
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The American floating strike lookback options
Sum, S. K. (Author). 2000
Student thesis: Master's thesis