Path-dependent game options with Asian features

Guo, Peidong; Zhang, Jizhou; Wang, Qian

doi:10.1016/j.chaos.2020.110412

Cited by 3 publications

(2 citation statements)

References 31 publications

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“…Most of these options are over-the-counter and offer great flexibility and variety. The lookback option is a path-dependent option, and its return depends not only on the value of the underlying asset, but also on the maximum and minimum price fluctuations of the underlying asset before the entire option expiration date [2]. Lookback option allows the holder to understand the history when deciding when to exercise the option [3].…”

Section: Introductionmentioning

confidence: 99%

Fixed Lookback Option Pricing Based on Black-Scholes Model and Monte-Carlo Simulation

Cao¹,

Ma²

2023

Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-

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This paper investigates the fixed lookback option pricing based on B-S model and Monte-Carlo simulation and tries to demonstrate the comparative advantage of fixed lookback options over plain vanilla ones. In order to achieve the goals, we give out the methodology that is used and the three scenarios which can prove the advantage of fixed lookback option. Besides, the Sensitivity analysis is applied to evaluate the effects of various variables on the option price. Overall, these results shed light on guiding further research focusing on option pricing.

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Section: Introductionmentioning

confidence: 99%

Fixed Lookback Option Pricing Based on Black-Scholes Model and Monte-Carlo Simulation

Cao¹,

Ma²

2023

Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-

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“…Thus a two-sided optimal stopping problem arises because both participants strive to maximize their financial utilities. Usually these tasks are viewed as free boundary differential problems-we have to derive the solution as well as the region in which it holds-see, for example, Meyer (2016) and Guo et al (2020). Alternatively, we shall attack directly the optimal stopping problem maximizing the financial results of the writer and holder.…”

mentioning

confidence: 99%

Pricing cancellable American put options on the finite time horizon

Zaevski

2022

Journal of Futures Markets

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The purpose of this paper is to present a numerical approach for pricing cancellable American put options, also known as game or Israeli options, on the finite time horizon. These options generalize the concept of American derivatives adding an early exercise right for the option's writer to the existing holder's right. The writer has to pay a penalty amount above the usual option payment to use this right. We first obtain the shape of the optimal regions for both participants. Then we approximate the optimal exercise boundaries maximizing the option's writer and holder financial expectations using some first exit properties of the Brownian motion. We also construct an efficient pricing algorithm based on these boundaries. A semiclosed form formula is derived when the underlying asset starts above the strike.

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Perpetual cancellable American options with convertible features

Zaevski¹

2023

Modern Stochastics: Theory and Applications

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The major characteristic of the cancellable American options is the existing writer’s right to cancel the contract prematurely paying some penalty amount. The main purpose of this paper is to introduce and examine a new subclass of such options for which the penalty which the writer owes for this right consists of three parts – a fixed amount, shares of the underlying asset, and a proportion of the usual option payment. We examine the asymptotic case in which the maturity is set to be infinity. We determine the optimal exercise regions for the option’s holder and writer and derive the fair option price.

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Path-dependent game options with Asian features

Cited by 3 publications

References 31 publications

Fixed Lookback Option Pricing Based on Black-Scholes Model and Monte-Carlo Simulation

Fixed Lookback Option Pricing Based on Black-Scholes Model and Monte-Carlo Simulation

Pricing cancellable American put options on the finite time horizon

Perpetual cancellable American options with convertible features

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