Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models
Computational Finance
2014-04-10 v1 Probability
Pricing of Securities
Abstract
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the results of Broadie et al. (1999) to jump-diffusion models. We also derive bounds for general exponential L\'evy models.
Keywords
Cite
@article{arxiv.1009.4884,
title = {Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models},
author = {El Hadj Aly Dia and Damien Lamberton},
journal= {arXiv preprint arXiv:1009.4884},
year = {2014}
}
Comments
31 pp