Studying On The Pricing Of Exotic Options

With the development of financial markets, standard options already cannot satisfy the demand of all kinds of inventors. In order to meet the personalized needs of traders, various kinds of non-standard options that exotic options have sprung up one after another. Exotic options are impor-tant financial derivatives that can be used to hedge and control financial risks. Therefore, the exotic options pricing is the most important research focuses in financial mathematics. There is concern that the O-U process has more backward trend than general stochastic process, and that is in accord with the facts. The predecessors discussed the O-U model mostly just theoretical exploration without actual analysis. In this dissertation we discuss the pricing problem of American floating strike lookback option. We created a new forms of compound option which associated with asian option and lookback option based on the character of itself. Under the hypoth-esis of the underlying asset price obeying exponential Ornstein-Uhlenbeck process model, we constructed risk-neutral probability measure by using Girsanov theorem and obtained the pricing formulas and their some per-petual of American floating strike lookback option and compound option which talked above by application of the theory and tools of stochastic analysis.