ScholarLens Back to search
2007•Journal of Hefei University of TechnologyRequires access

Pricing of lookback options under stochastic interest rates

DU Xue-qiao

Open publisher page 0 citations

Abstract

Lookback options are path-dependent options the payoffs of which depend on the maximum or the minimum of the underlying asset price attained over the lookback period.This paper presents the formula of pricing lookback options under stochastic interest rates using the reflection principle.The Gisanov theorem is applied to constructing the equivalent martingale measure and the Ito formula,and using of the reflection principle helps simplifying the pricing formula.

About this research paper

What this paper is about

Lookback options are path-dependent options the payoffs of which depend on the maximum or the minimum of the underlying asset price attained over the lookback period.This paper presents the formula of pricing lookback options under stochastic interest rates using the reflection principle.The Gisanov theorem is applied to constructing the equivalent martingale measure and the Ito formula,and using of the reflection principle helps simplifying the pricing formula.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Lookback options are path-dependent options the payoffs of which depend on the maximum or the minimum of the underlying asset price attained over the lookback period.This paper presents the formula of pricing lookback options under stochastic interest rates using the reflection principle.The Gisanov theorem is applied to constructing the equivalent martingale measure and the Ito formula,and using of the reflection principle helps simplifying the pricing formula.

Key concepts: Martingale (probability theory), Reflection principle (Wiener process), Martingale pricing, Mathematical economics, Interest rate, Econometrics, Economics, Actuarial science

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Pricing of lookback options under stochastic interest rates — Research Paper | ScholarLens