A barrier chooser lookback option that is associated with digitality, i.e., a feature giving a fixed payoff if the underlying price (rate) is below or above a certain level. Otherwise, the option gives no payoff. In other words, a digital barrier chooser lookback option is an option that comes with a number of features: lookback period, type selectability (call/ put), barrier condition, and digitality.
January 17, 2024
