Path Dependent Options: The Case of Lookback Options
推导了欧式回望期权的显式定价公式，并给出美式回望期权的部分结果，对金融衍生品定价研究有参考价值。
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.