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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The authors would like to thank the anonymous referee and the editor for their helpful comments and valuable suggestions that led to several important improvements.
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This research was supported in part by The Youth Project of Humanities and Social Sciences of Ministry of Education (Grant No. 19YJCZH251) and in part by The Scientific Research Program of Tianjin Education Commission (Grant No. 2018KJ113).
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Zhang, L., Sun, Y., Du, Z. et al. Uncertain strike lookback options pricing with floating interest rate. Rev Deriv Res 24, 79–94 (2021). https://doi.org/10.1007/s11147-020-09170-4
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DOI: https://doi.org/10.1007/s11147-020-09170-4