CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

DOI10.1142/S0219024914500253zbMath1308.91189arXiv1302.2312MaRDI QIDQ2874731

Fabien Heuwelyckx

Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2312

zbMATH Keywords

convergenceasymptoticBlack-Scholesbinomial modelfloating strikelookback

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

The pricing of lookback options and binomial approximation ⋮ Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ A fast numerical method for the valuation of American lookback put options

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