New answers tagged european-options
0
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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 ...
- 561
3
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Accepted
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, ...
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