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Topic: Lookback option

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The option is activated (knocked-in) and becomes capable of exercise or terminated (knocked-out) and becomes incapable of exercise as the option is moving out-of-the-money.
The option is activated (knocked-in) and becomes capable of exercise or terminated (knocked-out) and becomes incapable of exercise as the option is moving further into-the-money.
The option is cash settled at expiry by comparing the strike price with the average of a pre-determined series of spot rates, observed over the lifetime of the option.
www.genesisny.net /Genesis/FX.html   (3952 words)

 lookback option Definition
Call or put option whose strike price is not determined until the option is exercised.
The premium on such options tends to be high since it gives the buyer great flexibility, and the writer has to take on a lot of risk.
Learn about call and put options, the components of an options contract, how to value and price options, and what the advantages and disadvantages of options to help you decide if they are the right investment for you.
www.investorwords.com /2893/lookback_option.html   (245 words)

 TradersGame.com Glossary
Average options as well as barrier and lookback options belong to the family of "path-dependent" exotic options.
Compound options are sometimes known as "split fee" options because two payments are involved: an up-front premium and, if exercised, the amount of the strike price, which is the premium for the back option.
An equivalent position for one option is calculated by multiplying the delta for the option by the trade quantity of the option.
tradersgame.com /glossary.html   (4869 words)

 Barrier Option, Knock-In Option, Knockout Option
If the option expired with the underlier at EUR 103, but the underlier never reached the barrier level of EUR 110 during the life of the option, the option would expire worthless.
Because barrier options are path-dependent, it is desirable to model a term structure of implied volatilities.
Asian option An option whose expiration value depends on the average value of an underlier over a specified period.
www.riskglossary.com /articles/barrier_option.htm   (532 words)

 Global Derivatives Lookback Options   (Site not responding. Last check: 2007-10-16)
Lookback options, also known as Hindsight options are a type of path-dependent option where the payoff is dependent on the maximum or minimum asset price over the life of the option; and this is where the name comes from - the holder of the lookback can 'look back' over time to determine the payoff.
This type of lookback option is only settled in cash, and has the strike pretermined at inception and the payoff is the maximum difference between the optimal price and the strike price.
As we highlighted in the introduction, fixed strike lookbacks have a strike level which is fixed, and at expiry, the payout is the difference between the highest (for calls) or lowest (for puts) and the fixed strike.
www.global-derivatives.com /options/lookback-options.php   (1661 words)

 Introduction to Exotic Options
A knock-in option in which the barrier is in-the-money with respect to the strike is called a reverse knockin option.
Asian options contrary to what one might think on the face of it, the term Asian option refers to options whose payoff is contingent upon the path that spot takes over the lifetime of the option.
The payoff of average rate options is calculated by taking the difference between the average for a pre-set index over the life of the option and the strike price and then multiplying this difference by the notional amount.
www.finpipe.com /exoptions.htm   (1566 words)

 Put option - Wikipedia, the free encyclopedia
A put option (sometimes simply called a "put") is a financial contract between two parties, the buyer and the writer of the option.
A European put option allows the holder to exercise the put option for a short period of time right before expiration.
However, options are traded on many other assets: financial - such as interest rates (see interest rate floor) - and physical, such as gold or crude oil.
en.wikipedia.org /wiki/Put_option   (830 words)

 Lookback Options
is a path dependent option settles based upon the maximum or minimum underlier value achieved during the entire life of the option.
In the case of a put, the payoff is the difference between the highest value achieved by the underlier and the value of the underlier at expiration.
Lookback options have obvious appeal, but they are expensive.
www.riskglossary.com /articles/lookback_option.htm   (558 words)

 Lookback Options   (Site not responding. Last check: 2007-10-16)
Lookback options are a type of path-dependent options.
A Lookback Call (Put) allows the holder to buy (sell) the underlying asset at the lowest (highest) price reached during the term of the option.
Lookbacks are generaly more expensive than similar vanilla style options, due to the fact that they are never out-of-the-money.
www.derivativepricing.com /helpfiles/2738.htm   (120 words)

 Lookback Options Pricing
A lookback option is different from most other options in that the holder is able to 'lookback' at the end of the option's life and excercise the option at a more favourable strike price..
Floating Strike Lookback allows the holder to exercise the option to give the highest payoff based on the price of the underlying asset on the expiry date versus the maximum or minimum of the asset price during the option's life.
For example, a call lookback on a stock would give a payoff of the price of the stock on the expiry date less the minimum price of the stock during the option's life.
www.derivativesone.com /kb/lookback_options.aspx   (238 words)

 Joe Ross - Trading Educators - Resources - Glossary
Position Limit: The maximum position, either net long or net short, in one futures (or option) or in all futures (or options) of one commodity or financial instrument combined which may be held or controlled by one person as prescribed by an exchange and/or by the CFTC.
Puts: Option contracts which give the holder the right but not the obligation to sell a specified quantity of a particular commodity, financial instrument, or other interest at a given price (the "strike price") prior to or on a future date.
Also called "put option," they will have a higher (lower) value the lower (higher) the current market value of the underlying article is relative to the strike price.
www.tradingeducators.com /resources/glossary_p.htm   (4499 words)

 Binary option - Wikipedia, the free encyclopedia
A binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all.
The two main types of binary options are the cash-or-nothing binary option and the asset-or-nothing binary option.
The price of the option can be found by the formulas below, Where Q is the cash payoff, S is the initial stock price, T is the time to maturity q is the dividend rate, v is the standard deviation and r is the risk free rate.
en.wikipedia.org /wiki/Binary_option   (309 words)

This function calculates the value of a European lookback option (that has just been issued) on a dividend paying stock.
T - Double : The option maturity in years.
If putcall = 0 then the option is a call, if putcall = 1 then it is a put.
homepage.ntlworld.com /mg.levy/opt_lookback.htm   (97 words)

 CFTC Glossary   (Site not responding. Last check: 2007-10-16)
Path Dependent Option: An option whose valuation and payoff depends on the realized price path of the underlying asset, such as an Asian option or a Lookback option.
Pegging: Effecting transactions in an instrument underlying an option to prevent a decline in the price of the instrument shortly prior to the option’s expiration date so that previously written put options will expire worthless, thus protecting premiums previously received.
Put: An option contract that gives the holder the right but not the obligation to sell a specified quantity of a particular commodity or other interest at a given price (the "strike price") prior to or on a future date.
www.cftc.gov /opa/glossary/opaglossary_p.htm   (1179 words)

 strike price Definition
The specified price on an option contract at which the contract may be exercised, whereby a call option buyer can buy the underlier or a put option buyer can sell the underlier.
The buyer's profit from exercising the option is the amount by which the strike price exceeds the spot price (in the case of a call), or the amount by which the spot price exceeds the strike price (in the case of a put).
In general, the smaller the difference between spot and strike price, the higher the option premium.
www.investorwords.com /4780/strike_price.html   (293 words)

 Amazon.com: The Complete Guide to Option Pricing Formulas: Books: Espen Gaardner Haug   (Site not responding. Last check: 2007-10-16)
The Complete Guide to Option Pricing Formulas is the first and only authoritative reference to contain every option pricing took you need, all in one handy volume: Black-Scholes, two asset binomial trees, implied trinomial trees, Vasiceck, exotics.
Many important option pricing formulas are accompanied by computer code to assis in their use, understanding, and implementation.
The complete Guide to Option Pricing Formulas, an invaluable guide for both experienced users and those learning how to use the tools of valuation, is the first book to place all of the research and information you need at your fingertips.
www.amazon.com /Complete-Guide-Option-Pricing-Formulas/dp/0786312408   (1691 words)

An option with a payoff based on the path of some risk factor from the option's inception until its expiration.
The crucial innovation here is that an ordinary CME Futures Option on the ED contract with delivery in one year (two years) expires in one year (two years), while the Mid-Curve Option initially expires in six months.
A residential mortgage loan typically contains a prepayment option, which is the borrower's call option on the loan and which becomes valuable when interest rates decline.
www.margrabe.com /Dictionary/DictionaryKM.html   (2598 words)

 Derivicom's FinExotics XL Functions
Calculates the price and sensitivities of an Average Strike Asian option using either an Arithmetic or Geometric model.
Calculates the price and sensitivities of an Foreign Equity option struck in domestic currency valued in either domestic or foreign currency.
Calculates the price and sensitivities of a floating strike Lookback option using a Monte Carlo technique.
www.derivicom.com /pages/products/products_functions.asp?product=FEXL   (647 words)

 Lookback Option
An exotic option that allows investors to "look back" at the underlying prices occurring over the life of the option, and then exercise based on the underlying asset's optimal value.
However, the option is not exercised at the market price: in the case of a call, the option holder can look back over the life of the option and choose to exercise at the point when the underlying asset was priced at its highest over the life of the option.
While lookback options are appealing to investors, they can be expensive and are also considered to be quite speculative.
www.investopedia.com /terms/l/lookbackoption.asp   (444 words)

 [No title]
Several people are under the impression that the lattice for pricing lookback option is not recombining.
I will show two paths of length 5 such that the final stock price and the maximum on these paths is the same, i.e., showing recombination.
up-tick,down-tick,up-tick,up-tick,up-tick up-tick,up-tick,up-tick,down-tick,up-tick I suggest that you print out the lattice for the lookback option with T=5 (the method to be called in AbstractOption.cpp is PrintLattice).
www.andrew.cmu.edu /course/46-927/bboard/notes-09-30-99.txt   (135 words)

 Amazon.com: The Complete Guide to Option Pricing Formulas: Books: Espen Gaarder Haug   (Site not responding. Last check: 2007-10-16)
The Second Edition of this classic guide now includes more than 60 new option models and formulas…extensive tables providing an overview of all formulas…new examples and applications…and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.
The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation.
Option Pricing — $9.95 online options trades plus a per contract fee as low as 75¢.
www.amazon.com /Complete-Guide-Option-Pricing-Formulas/dp/0071389970   (1821 words)

 Journal Time Qualifiers   (Site not responding. Last check: 2007-10-16)
This option is applicable only for transactions fenced with ZTSTART and ZTCOMMIT.
This limits LOOKBACK to the specified number of database transactions.
The TIME LOOKBACK option name and its value must be enclosed in quotes ("").
www.sanchez-gtm.com /user_documentation/AdmOps_VMS/jrnl_time_quali.html   (719 words)

 Technical Analysis and Charting Products by Modulus Financial Engineering
Options Express provides all of the standard option pricing functions as described below.
A Lookback Option is an exotic option that reduces uncertainties associated with market entry timing.
The option's strike price is fixed when purchased but the underlying is priced at its highest or lowest point, depending on if it is a call or put, during the life of the option rather than expiring at market.
www.modulusfe.com /options   (540 words)

 [No title]
Value of a call is $5.79 (via Option software) Value of a put with a strike price of 165e-0.0521(15/365) = 164.647 is $4.35.
¡NÄü™$›€€Q€ª—'ói^Ÿ¨ Asian OptionsŸ¨TAn Asian Option is an option where the payoff is based on the average price attained by the underlying asset during the life of the option.
He could purchase a simple put option the cost of which would be 4.694 and he would be assured that whatever happens he can sell his portfolio for 50 (paths: ddd, ddu, dud, udd) To save a little money he could instead purchase an up and out put with a barrier of 55.
cwis.livjm.ac.uk /bus/aem713/lect8.ppt   (680 words)

 Glossary of Option Terms: Lookback Option
Definition: Exotic option allowing you to “look back” at the underlying prices over the lifetime of an option, and then sell it based on the optimal value of the option.
Options Straddle: Using A Straddle to Harness "Uncertainty"
Not only has my account weathered these uncertain times, but my portfolio is up in excess of 25%!
www.smartoptionsreport.com /glossary/lookbackoption.html   (155 words)

 Glossary of Option Terms: Russian Option
Definition: A lookback option without an expiration date.
Also known as a perpetual lookback option, another way for investors to adjust their risk.
What subscribers are saying about Smart Options e-Report:
www.smartoptionsreport.com /glossary/russianoption.html   (117 words)

 Financial dictionary: Lookback option   (Site not responding. Last check: 2007-10-16)
An option that allows the buyer to choose as the option strike price any price of the underlying asset that has occurred during the life of the option.
If a call, the buyer will choose the minimal price, whereas if a put, the buyer will choose the maximum price.
This option will always be in the money.
www.specialinvestor.com /terms/1937.html   (75 words)

 Russian Option
This type of option can have either an American or a Mid-Atlantic settlement.
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Free Agricultural Options and Futures Tutorial - This interactive tutorial from the Chicago Board of Trade comes complete with introductions, information and follow up quizzes that will educate any level of investor.
www.investopedia.com /terms/r/russianoption.asp   (225 words)

 TechHackers software products - QuantTools: Exotics
Sensitivities for a double barrier one-touch cash-at-hit option
Sensitivities for a double barrier one-touch cash-at-expiration option
Sensitivities for a double-barrier one-touch asset at expiration option
www.thi.com /financial_software/quant_func_exotic.shtml   (140 words)

The FATS Lookback option provides enhanced After Action Review capabilities by recording the trainee’s body movements and verbal commands.
Scenario and trainee playback (lookback) can be displayed side by side, different sizes, and picture in picture.
This simultaneous display allows the instructor to correlate trainee behavior to specific scenario situations.
www.fatsinc.com /Lookback.php   (71 words)

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