Path-dependent game options: A lookback case

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

Research output: Contribution to journalJournal


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.
Original languageEnglish
Pages (from-to)113-124
JournalReview of Derivatives Research
Issue number1
Publication statusPublished - 2014

Corresponding author email

Project name

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

Project sponsor


Project No.



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

Indexed by

  • ABDC-B
  • SSCI


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