The Price of Finite Horizon Lookback Game Options

The game option, which is also called as the Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the look back game option where the payoff of the option depends on the maximu...

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Bibliographic Details
Published in2012 Second International Conference on Business Computing and Global Informatization pp. 242 - 245
Main Author Guo Peidong
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.10.2012
Subjects
American options
Callable feature
Contracts
Density functional theory
Educational institutions
Europe
Games
Lookback game options
Pricing
Pricing formula
Yttrium
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Summary:The game option, which is also called as the Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the look back game option where the payoff of the option depends on the maximum or minimum over the asset price movement path (i.e., the game option with the look back feature). We provide the integral expression of pricing formula under the finite horizon case. In addition, we derive optimal exercise strategies and continuation regions of options in both floating and fixed strike cases.
ISBN:1467344699
9781467344692
ISSN:2378-8941
2378-895X
DOI:10.1109/BCGIN.2012.69