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Pricing look-back option

This problem is very strange, because the Smin can only be taken across a single path. For example, if you had say 100 in Dec 2020 and 105 in Jan 2021, the Smin will be 100. However, if you had 95 in ...
Kai's user avatar
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Replication of the payoff of a chooser option

Consider a European chooser option which allows you to choose at time $\tau$ if you want to receive a put option and call option with maturity $T>\tau$. At time $\tau$, using the put-call parity, ...
Kevin's user avatar
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