A blog about an eclectic mix including running Ruby, Python on Windows, Autoit, Tercero and Quantitative development with Mathematica. This is really to help me but I if it helps anyone else that is great.
2008-06-09
Lookback Options payout
A look back option allows you to get a payout assuming perfect hindsight. These have been used by Fung and Hsieg as a proxy for a perfect trend follower. The payout function for an asset that varies over time is:
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