Simulation of European lookback options

zbMATH Open1348.91281MaRDI QIDQ2829759FDOQ2829759

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

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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)

Cited In (4)

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

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