| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士在職專班 === 97 === Financial diversity and innovative financial customize product mix meet investors’ needs. Recent days, exotic options has sprung up in over-the-counter market (OCT). The performance of European and American option come with time value of its objec-tives, some of derivative finance like Asian Options, Barrier Options, Reset Options and Lookback Options , etc..
Lookback Options attract investors’ eyes through measuring stock value had climbed at maximum price or slumped at minimum price. Duration of lookback options maintain at certain price, hedge and speculation of lookback options are being satisfied with investor, especially its performance also meet investor’s need.
This study focuses on features of European lookback options, constructs model of lookback options evaluation, the results indicate time to call or sell put when Delta ex-hibits positive call, and it’s time to long call or short call when it shows negative put op-tion. Moreover, when the premium of call in the option market is higher than B-S theo-retical value, it represents the value of call in the market is overestimated, that means it’s a strategy to sell call. Relatively, when the premium of sell is the option market is lower then B-S theoretical value, it shows the value of sell in the market is overesti-mated, it’s time to put.
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