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Pricing lookback option under CEV process

XIE Chi (College of Business Administration, Hunan University, Changsha 410082, China)  
This paper discusses the pricing of lookback options when the underlying asset follows the constant elasticity of variance (CEV) process. It constructes a trinomial method to approximate the CEV process and use it to price lookback options. It is finded, for lookback options, that the technique proposed by Babbs for the lognormal case can be modified to value laokback when the asset price follows the CEV process.
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