Look back options

Look back options

1. Russian Options

   • Who would want to buy a russian option?
   • Discretely sampled
   • Continuously sampled
   • A type of perpetual lookback American options
   • Payoff = Jmax

2. Stop Loss options

   • Who would want to purchase stop-loss options?
     • An investor that would like insurance against a sudden crash in the market.
   • How much do stop loss options cost?
     • The greater the greater the value of lambda, the higher the cost of the option
   • Payoff = lambda*Jmax

3. Path dependent variable J

4. The BSE is identical to the standard BSE except that V is dependent on three variables

5. Discrete sampling

   • Cheaper than continuous sampling