中文摘要：

回望期权作为1种重要的路径依赖期权,在金融市场的发展过程中起到了重要的作用,但其价格过高的缺点制约了该期权的流动性。本文改进了标准回望期权,以期权合约有效期内标的资产最低价格加上一个固定值k为期权行权价格,但该期权不能用标准回望期权的定价方法进行定价,本文给出了改进的回望期权即半浮动定价的回望期权的价格,并基于计算机仿真得到了该价格对参数的敏感性,给出了这种新型回望期权相对于标准回望期权的优点。

英文摘要：

Look back option as a kind of path-dependent options plays an important role in the development of financial market. But its relative higher price restricts the option＇s fluency. This paper modifies the standard look back option, the lowest underlying asset＇s price within the option＇s living period pluses a constant k is taken as the exercise price. Its pricing cannot follow the standard method. In this paper, the pricing of the modified look back option, which is semi-floating price look back option is given. The robustness with respect to parameters are also derived in the simulation part, which also shows the new option＇s advantages.