Pricing Research And Sensitivity Analysis For Look-back Options With Discrete Dividend-paying And Transaction Costs

Due to the rapid development of modern financial market,as one kind of new exotic options,the pricing theory and practical application of look-back options have caught the attention of many.Look-back option of this study is a kind of its income not only depends on the price but also depends on the maximum and minimum prices of the underlying asset within the expiration date.Look-back option has been hailed as a kind of option with smallest pity,for the reason that it allows the holder to get the benefits from the fluctuations of the unknown market volatility.Look-back options include standard look-back options,part look-back options and American look-back options.First of all,this paper derived the pricing method of the standard look-back options,part look-back options,then it used the risk neutral pricing principle to analyze the binomial model of the floating strike price look-back options and the fixed strike price look-back options under the condition of discrete dividends and transaction costs.According to the derived pricing formula,it texted the convergence of the result,and it texted the sensibility of same parameter factors of the look-back options.Finally,it got a conclution and prospect of this study.