Research On Quanto Lookback Option Valuation By Lévy Process

As one of the derivative securities, the option takes an important position in financial market. For decades, it has been developing rapidly as an instrument for arbitrage and risk prevention. The price of option means the value judgment made by both of counterparts, but it is rather difficult to watch it. Hereby, the option valuation is always an important subject in financial mathematics.Quanto Option is usually used to hedge foreign assets,in fact,it is an option on the portfolio of foreign assets to avoid the risk of change of the price and exchange rate. Quanto Lookback Option is a new type of options, this new option is main object for which we care in this thesis.This thesis mainly focus on:Under Lévy process,that is,the price of underlying assets have jump process, the formula in closed form for European quanto lookback call option valuation is given by martingale method. And the proof is given.And the price of forward option that under the Lévy process.The innovation of this thesis is1. Giving out a formula of joint density function under Lévy model.2. Giving out the equivalent martingale measures of more than one assets under Lévy model.