TY - JOUR T1 - Lookback Option Valuation JF - The Journal of Derivatives SP - 53 LP - 64 DO - 10.3905/jod.2003.319216 VL - 11 IS - 2 AU - Seungmook Choi AU - Mel Jameson Y1 - 2003/11/30 UR - https://pm-research.com/content/11/2/53.abstract N2 - The binomial model is a simple and straightforward way to price simple and straightforward options, like plain vanilla calls and puts, even with American exercise. But path-dependent contracts, such as lookback options, present problems for the binomial because of the need to keep track of a path statistic, in this case, the highest or lowest price attained, along each path through the lattice. Choi and Jameson present a very clever technique for stepping backward through the tree much more efficiently, so that one can value a lookback without carrying an auxiliary variable. ER -