Antoine Conze is at CEREMADE, Université Paris-Dauphine. Viswanathan is at Mitsubishi Finance International, London, and at Université Paris-Jussieu. Some of this work was done while Conze was visiting the Department of Economics at the University of Chicago. We gratefully acknowledge fruitful comments from Peter Carr, Darell Duffie, Nicole El Karoui, Jean-Michel Lasry, José Scheinkman, and two anonymous referees. Viswanathan would like to thank Pierre Dehen, Jeff Davies, and Sophie Sananès for a day of hard work in Quebec City. Any remaining errors are our responsibility.
Path Dependent Options: The Case of Lookback Options
Article first published online: 30 APR 2012
1991 The American Finance Association
The Journal of Finance
Volume 46, Issue 5, pages 1893–1907, December 1991
How to Cite
CONZE, A. and VISWANATHAN (1991), Path Dependent Options: The Case of Lookback Options. The Journal of Finance, 46: 1893–1907. doi: 10.1111/j.1540-6261.1991.tb04648.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Lookback options are path dependent contingent claims whose payoffs depend on the extrema of a given security's price over a certain period of time. Using probabilistic tools, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts.