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Review of Derivatives Research
Published in:

13-08-2020

Uncertain strike lookback options pricing with floating interest rate

Authors: Lidong Zhang, Yanmei Sun, Ziping Du, Xiangbo Meng

Published in: Review of Derivatives Research | Issue 1/2021

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Abstract

Considering the floating interest rate and the uncertainty of the strike price, we derive the pricing formulas of lookback options including lookback call option and lookback put option. Furthermore, we give the numerical algorithms to illustrate our results and analyze the relationships between the price of lookback options and all the parameters.
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Metadata
Title
Uncertain strike lookback options pricing with floating interest rate
Authors
Lidong Zhang
Yanmei Sun
Ziping Du
Xiangbo Meng
Publication date
13-08-2020
Publisher
Springer US
Published in
Review of Derivatives Research / Issue 1/2021
Print ISSN: 1380-6645
Electronic ISSN: 1573-7144
DOI
https://doi.org/10.1007/s11147-020-09170-4

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