支付离散红利的回望期权定价

Pricing Lookback Options with Discrete Dividend Payment

回望期权是一种应用广泛的路径依赖型期权,文章假设标的资产价格在付息日的下跌数量等于红利支付数量,在付息日之间服从对数正态分布,研究回望期权的定价问题。利用二阶矩匹配的方法推导出回望期权的近似解析定价公式。用该方法计算出来的期权值与蒙特卡洛模拟值基本上是一致的。

Lookback options are path dependent options and have been used widely.The pricing of lookback options under the condition that the underlying asset price falls by the same amount as dividend at payment dates and follows log-normal distribution between payment dates is studied.The approximate analytical pric-ing formulas for lookback options are derived using second-order moment matching.Numerical experiments show that the option prices calculated by the approximate formulas are basically consistent with those by Monte Carlo simulation.