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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/201
Title: Integral price formulas for lookback options
Authors: Xu, Chenglong
Kwok, Yue Kuen
Keywords: Lookback options
Integral price formulas
Put-call parity
Issue Date: 2003
Abstract: We derive general integral representation of the price formulas for European options whose terminal payoff involves path dependent lookback variables. The intricacies in the derivation procedures using partial differential equation techniques stem from the degenerate nature of the pricing models, where the lookback state variables appear only in the auxiliary conditions but not in the governing differential equations. We also derive parity relation between the price functions of the floating strike and fixed strike lookback options.
URI: http://hdl.handle.net/1783.1/201
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