Simulation of European lookback options

MaRDI QIDQ2829759zbMATH OpenFDO

Authors R. Aboulaich, A. Alami Idrissi, M. Lamarti Sefian

Publication date 8 November 2016

Published in International Journal of Applied Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/703

zbMATH Keywords

finite element methodMonte Carlo methodbinomial and trinomial methodspricing of lookback option

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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(4)

• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• A fast numerical method for the valuation of American lookback put options
• Simulated Greeks for American options
• A modified binomial tree method for currency lookback options

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