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Title:
Improvement in Binomial Valuation of Lookback Options for Practical Application
Source:
International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment)
(pp 2873-2876)
Author(s):
Jin Feng, School of Management, Harbin Institute of Technology, Harbin, China, 150001
Chunqi Yu, School of Management, Harbin Institute of Technology, Harbin, China, 150001
Abstract:
Lookback option is one specific path-dependent kind of exotic options which belongs to relatively new financial derivatives. This article aims at finding a realizable and applicable binominal approach for lookback option pricing and its realization. Based on existed vital ideas and basic binominal approach theory, this article structures an easy and realizable binominal recursive route for lookback option pricing by defining appropriate values and functions and mathematical derivation, and realize it by actual example demonstration and computer programming. At last, the article analyzes different results comparison due to different parameters and explains the spreads, also confirms this binominal approach’s precision and value.
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