We show that in the world of Black and Scholes (1973) lookback options where the underlying price is monitored discretely instead of continuously can be priced in semi-closed form. We derive pricing formulas for a variety of full and partial lookback options, where monitoring takes place at not...

This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit...

All the explicit formulae for the valuation of lookback and barrier options available in the financial literature assume continuous monitoring of the underlying asset. In practice, however, monitoring is always discrete, and the gap between continuously and discretely monitored option values can...