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A path dependent option is an exotic option that's value depends not only on the price of the underlying asset but the path that asset took during all or part of the life of the option. There are many types of path-dependent options including Asian, chooser, lookback, and barrier options.

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作者:YK Kwok2008 — Path dependent options are options with payoff structures that are related to the path history of the asset price process during the option's life.
作者:T He — Barrier and lookback options are among the most popular path-dependent ... In particular, we focus on the pricing of path-dependent option with the ...
Common Types: Asian options, lookback options, barrier options ... the path-dependent quantity, but it is difficult to keep the methods computationally ...
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Path-dependent options are designed to capture how the settlement prices of the underlying assets are reached. There are several kinds of path-dependent ...
5 - Path-dependent options ... Classical call and put options are examples of derivatives whose payoff depends on the stock price at exercise.
作者:A Conze1991被引用次数:365 — 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.
作者:D Davydov2001被引用次数:320 — M /uch of the work on path-dependent options assumes that the underlying asset price follows geometric Brownian motion with constant volatility.
Vanilla options depend only on the price of the underlying security on the exercise date, whereas path-dependent options have an exercise payoff that depends on ...
61 页·502 KB
作者:M Broadie被引用次数:309 — path-dependent options. In several cases, the lattice methods use correction terms based on the connection between discrete- and continuous-time prices ...
34 页·535 KB

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