Path Dependent Options

Path Dependent Options

1. weakly path dependent

   • Compound options
     • Valuing compound options
   • Chooser options
     • Valuing chooser options

2. inherently path dependent

   • Barrier options
   • Asian Options
   • Lookback options

3. Discrete Sampling

   • Barrier options
     • For out options, discretely sampled options more expensive
     • For in options, discretely sampled options cheaper
   • Lookback options
   • Asian options
   • Valuing discretely sampled options
   • Jump conditions

4. Asian Options

   • Continuously sampled asian options
   • Similarity reduction
   • Put call parity

5. Lookback options

   • discretely sampled lookback options
   • Similarity reduction
   • perpetual lookback options
     • Russian options
       • Who would buy a Russian option?
     • Stop loss options

6. Path dependent options