Random walk duality and the valuation of discrete lookback options

DOI10.1080/135048698334655zbMath1009.91027OpenAlexW1999156013MaRDI QIDQ4541565

Tze Leung Lai, Farid AitSahlia

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048698334655

zbMATH Keywords

numerical integrationdualitydiscrete-time lookback options

Mathematics Subject Classification ID

Related Items (7)

Numerical valuation of discrete double barrier options ⋮ Exercise Regions And Efficient Valuation Of American Lookback Options ⋮ A general approach for lookback option pricing under Markov models ⋮ A moment expansion approach to option pricing ⋮ Chapman-Kolmogorov lattice method for derivatives pricing ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ Analysis of quadrature methods for pricing discrete barrier options

Cites Work

• Unnamed Item
• Sequential analysis. Tests and confidence intervals
• Binomial valuation of lookback options

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