摘要
Lookbackoptionsarepath-dependentoptions.Ingeneral,thebinomialtreemethods,asthemostpopularapproachestopricingoptions,involveapathdependentvariableaswellastheunderlyingassetpriceforlookbackoptions.However,forfloatingstrikelookbackoptions,asingle-statevariablebinomialtreemethodcanbeconstructed.Thispaperisdevotedtotheconvergenceanalysisofthesingle-statebinomialtreemethodsbothfordiscretelyandcontinuouslymonitoredAmericanfloatingstrikelookbackoptions.Wealsoinvestigatesomepropertiesofsuchoptions,includingeffectsofexpirationdate,interestrateanddividendyieldonoptionsprices,propertiesofoptimalexerciseboundariesandsoon.
出版日期
2001年02月12日(中国期刊网平台首次上网日期,不代表论文的发表时间)