Author Type

Graduate Student

Date of Award

1995

Document Type

Thesis

Publication Status

Version of Record

Submission Date

October 2026

Thesis/Dissertation Advisor [Chair]

Yuhn, Ky-Hyang

Abstract

Lookback options are path dependent contingent claims whose payoff depend on the extrema of a given security's price over a given period. Some of these options are already traded on specialized markets (such as foreign exchange) and mostly in over-the-counter market alongside with other path dependent options (knock-ins, knock-outs, etc.). This thesis examines the existing pricing models of conventional options as well as standard European lookback options and provides some results about early exercise of their American counterparts with the use of notions from the theory of optimal stopping.

Extent

50 p.

Comments

College of Business|FAU Electronic Theses and Dissertations Collection|Thesis (M.A.)--Florida Atlantic University, 1995.|College of Business

Identifier

FADT15177

Format

pdf

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