Path-dependent game options: A lookback case

Peidong Guo (First Author), Yue Fang (Participant Author), Xicai Guo (Participant Author), Qihong Chen (Participant Author)

科研成果: 期刊稿件期刊论文

摘要

The game option, which is also known as Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the path-dependent game option where the payoff of the option depends on the maximum or minimum asset price over the life of the option (i.e., the game option with the lookback feature). We obtain the explicit pricing formula for the perpetual case and provide the integral expression of pricing formula under the finite horizon case. In addition, we derive optimal exercise strategies and continuation regions of options in both floating and fixed strike cases.
源语言英语
页(从-至)113-124
期刊Review of Derivatives Research
17
1
DOI
出版状态已出版 - 2014

Corresponding author email

yfang@uoregon.edu

Project name

Ministry of Education of China’s Cultivation Fund of the Key Scientific and Technical Innovation Project

Project sponsor

其他

Project No.

708040

关键词

  • American options
  • Callable feature
  • Lookback game options
  • Path dependent

成果物的来源

  • ABDC-B
  • SSCI

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