Payoffs of path-dependent options 251Lookback optionsCall
PutShout option
Average / Asian optionTtT
tSS−∈]
, 0
[maxDerivative securities: Options - Some exotic options
tT
tTSS]
, 0
[min∈−()()TtESSshouttTshoutduringholderby thedet.with ,,max,
0max−0at tdet.
s'the
allwithavg.,arithm.
or,
0max11=⎞ ⎟ ⎟ ⎟ ⎠⎛ ⎜ ⎜ ⎜ ⎝−
⎞ ⎟⎟ ⎠⎛ ⎜⎜ ⎝∏
=in
tn itESi