Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

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

zbMATH Keywords

discretization error; lookback option; continuity correction; exponential Lévy model; hindsight option

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

65N15: Error bounds for boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Error Bounds for Small Jumps of Lévy Processes, Importance sampling and statistical Romberg method for Lévy processes, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, Zooming in on a Lévy process at its supremum, Multilevel Monte Carlo for exponential Lévy models, LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL, A comprehensive mathematical approach to exotic option pricing

Cites Work

• Connecting discrete and continuous path-dependent options
• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Stopped diffusion processes: boundary corrections and overshoot
• A Continuity Correction for Discrete Barrier Options
• Financial Modelling with Jump Processes
• Continuity Correction for Barrier Options in Jump-Diffusion Models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item