The Pricing Of Two New Exotic Options

Exotic options are important financial derivatives that investors and risk managers use tohedge and control financial risks. Therefore, the pricing of the exotic option has always beenone of the most important questions in financial mathematics.First, we study the options on the minimum or the maximum of two risky assets and derivethe pricing formulas for the two assets rainbow options with two time points and time-dependentparameters.This extends the result of Stulz[1].Second, we construct a new kind of exotic option in the form of lookback option with abarrier. By setting a barrier level on the underlying asset price for the lookback option, this newoption has both properties of a lookback option and a barrier option. The lookback option witha barrier not only has lower price than lookback option but also has higher income than barrieroption. Therefore, it should be a more competitive product in the financial derivatives market.