Partial lookback

rodsalestrader · September 1st, 2004, 1:01 pm

Hello,do you know where I can find a closed formula for the partial lookback option?

rodsalestrader · September 2nd, 2004, 1:32 pm

QuoteOriginally posted by: rodsalestraderHello,do you know where I can find a closed formula for the partial lookback option?come on guys..........................pls

AlanB · September 8th, 2004, 10:35 am

QuoteOriginally posted by: rodsalestraderQuoteOriginally posted by: rodsalestraderHello,do you know where I can find a closed formula for the partial lookback option?come on guys..........................plsTo start try the following: "Lookback Options with Discrete and Partial Monitoring of the Underlying Price", by Heynen, Kat, Applied Mathematical Finance, 2:273-284, 1995. If they don't have what you want , perhaps some of their references do.

Anton · September 9th, 2004, 7:08 am

What do you mean by "partial lookback option"? can you write down the payoff? Also, which model do you use?A.