Pricing lookback strike put options with barrier by partial differential equation approach
- Title
- Pricing lookback strike put options with barrier by partial differential equation approach
- Authors
- 김병철
- Date Issued
- 2018
- Publisher
- 포항공과대학교
- Abstract
- We consider the problem of pricing lookback option with barrier whose payoff depends on the maximal stock price as well as the terminal price during the contract period. In addition the option becomes void when the stock price crosses an upper bound. We first reduce the problem to an partial differential equation with both Dirichlet and Robin boundary conditions. An explicit pricing formula is then obtained by finding an appropriate Green's function and applying Laplace transform. Approaches developed here can be easily applied to pricing other types of lookback options with barrier.
- URI
- http://postech.dcollection.net/common/orgView/200000107086
https://oasis.postech.ac.kr/handle/2014.oak/92962
- Article Type
- Thesis
- Files in This Item:
- There are no files associated with this item.
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