Path Dependent Options: The Case of Lookback Options
用概率工具推导了多种欧式回顾期权的显式定价公式，并给出美式回顾期权的部分结果，适合研究路径依赖期权定价的学者参考。
ABSTRACT 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.