Lookback option prices under a spectrally negative tempered-stable model (Q2841328)
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scientific article; zbMATH DE number 6191016
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| English | Lookback option prices under a spectrally negative tempered-stable model |
scientific article; zbMATH DE number 6191016 |
Statements
24 July 2013
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pricing lookback options
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discrete monitoring
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Monte Carlo simulation
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spectrally negative tempered stable process
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Wiener-Hopf factorization
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Lévy process
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Lookback option prices under a spectrally negative tempered-stable model (English)
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0.796627938747406
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0.7929145693778992
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0.7876656651496887
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0.7861763834953308
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0.7808598279953003
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