Computing exponential moments of the discrete maximum of a Lévy process and lookback options

DOI10.1007/s00780-009-0096-xzbMath1199.60184OpenAlexW2104633083MaRDI QIDQ964688

Vadim Linetsky, Liming Feng

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0096-x

zbMATH Keywords

Fourier transformHilbert transformLévy processexponential momentsEsscher transformsinc expansiondiscrete lookback optionsdiscrete maximum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods in Fourier analysis (65T99)

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