{"title":"关于基于订单统计的回溯选项的说明","authors":"Ryozo Miura","doi":"10.15057/5748","DOIUrl":null,"url":null,"abstract":"Average options and minimum (or maximum) options are well-known look-back options. In this paper we define new look-back options which use the order statistics of the stock prices for the exercise prices and/or for the underlying variables of the options. The probability distributions of the order statistics which are required for pricing are obtained here. Though we have not yet reached the pricing formula of these options, we are close to it. What is left to be done for pricing will be pointed out.","PeriodicalId":154016,"journal":{"name":"Hitotsubashi journal of commerce and management","volume":"38 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1992-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"62","resultStr":"{\"title\":\"A Note on Look-Back Options Based on Order Statistics\",\"authors\":\"Ryozo Miura\",\"doi\":\"10.15057/5748\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Average options and minimum (or maximum) options are well-known look-back options. In this paper we define new look-back options which use the order statistics of the stock prices for the exercise prices and/or for the underlying variables of the options. The probability distributions of the order statistics which are required for pricing are obtained here. Though we have not yet reached the pricing formula of these options, we are close to it. What is left to be done for pricing will be pointed out.\",\"PeriodicalId\":154016,\"journal\":{\"name\":\"Hitotsubashi journal of commerce and management\",\"volume\":\"38 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1992-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"62\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Hitotsubashi journal of commerce and management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.15057/5748\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Hitotsubashi journal of commerce and management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15057/5748","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Note on Look-Back Options Based on Order Statistics
Average options and minimum (or maximum) options are well-known look-back options. In this paper we define new look-back options which use the order statistics of the stock prices for the exercise prices and/or for the underlying variables of the options. The probability distributions of the order statistics which are required for pricing are obtained here. Though we have not yet reached the pricing formula of these options, we are close to it. What is left to be done for pricing will be pointed out.
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