Fourier Transform of Lookback Option Price

<table>Option prices <svg height="13.45" id="M98" style="vertical-align:-2.21957pt" version="1.1" viewbox="0 0 29.487499 13.45" width="29.487499" xmlns="http://www.w3.org/2000/svg">
<g transform="matrix(1.25,0,0,-1.25,0,13.45)">
<g transform="translate(72,-61.24)">
<text transform="matrix(1,0,0,-1,-71.95,63.5)">
<tspan style="font-size: 12.50px; " x="0" y="0">𝐶</tspan>
<tspan style="font-size: 12.50px; " x="8.389513" y="0">(</tspan>
<tspan style="font-size: 12.50px; " x="12.553012" y="0">𝑘</tspan>
<tspan style="font-size: 12.50px; " x="19.329638" y="0">)</tspan>
</text>
</g>
</g>
</svg> against strikes <svg height="10.325" id="M99" style="vertical-align:-0.0pt" version="1.1" viewbox="0 0 13.2875 10.325" width="13.2875" xmlns="http://www.w3.org/2000/svg">
<g transform="matrix(1.25,0,0,-1.25,0,10.325)">
<g transform="translate(72,-63.74)">
<text transform="matrix(1,0,0,-1,-71.95,63.79)">
<tspan style="font-size: 12.50px; " x="0" y="0">𝐾</tspan>
</text>
</g>
</g>
</svg>.</table>

International Scholarly Research Notices

Fourier Transform of Lookback Option Price

Figure 1