Cao, Yu and Ma, Xinlun (2023) Fixed Lookback Option Pricing Based on Black-Scholes Model and Monte-Carlo Simulation. In: Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China.
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Abstract
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 scenario
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:10 |
| Last Modified: | 17 Apr 2026 03:24 |
| URI: | http://eprints.eai.eu/id/eprint/42624 |
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