Double Lookbacks
提出并分析了一类新型期权——双重回顾期权，其收益取决于一个或两个交易资产的最大和/或最小价格，推导了相关几何布朗运动的联合概率分布并用于定价，数值结果与标准回顾期权进行了比较。
A new class of options, double lookbacks , where the payoffs depend on the maximum and/or minimum prices of one or two traded assets is introduced and analyzed. This class of double lookbacks includes calls and puts with the underlying being the difference between the maximum and minimum prices of one asset over a certain period, and calls or puts with the underlying being the difference between the maximum prices of two correlated assets over a certain period. Analytical expressions of the joint probability distribution of the maximum and minimum values of two correlated geometric Brownian motions are derived and used in the valuation of double lookbacks. Numerical results are shown, and prices of double lookbacks are compared to those of standard lookbacks on a single asset.