Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
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Publication:3111060
DOI10.1239/aap/1324045702zbMath1235.60049arXiv1009.4884MaRDI QIDQ3111060
Damien Lamberton, El Hadj Aly Dia
Publication date: 17 January 2012
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4884
discretization error; lookback option; continuity correction; exponential Lévy model; hindsight option
60G51: Processes with independent increments; Lévy processes
65N15: Error bounds for boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
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