最近エキゾチック・オプションの一種を勉強しています。Two forms of lookback options exist, which interestingly have payoffs based on opposite extrema of the underlying price. The pricing formula for a fixed-strike lookback call is the same a…

I fail to understand the reasoning behind the change of numeraire in the derivation of the Libor Market Model forward rate process, nor do I see where the v(m)-v(k) factor arises from. やっぱり先物の利子と債券の割引因数の関係がニューメレー…