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Lookback option prices under a spectrally negative tempered-stable model
Journal article   Peer reviewed

Lookback option prices under a spectrally negative tempered-stable model

Guillaume Coqueret
International Journal of Theoretical and Applied Finance, Vol.16(3)
01/05/2013

Abstract

Pricing lookback options discrete monitoring Monte-Carlo simulation spectrally negative tempered stable process
We perform a Laplace transform inversion in the time parameter on the two Wiener-Hopf factors for a spectrally negative tempered stable Lévy process. This yields the issuing price of continuously monitored lookback options. We also propose a simulation technique for the purpose of Monte-Carlo valuation and discuss the convergence rate to continuous prices when the number of discretization steps (i.e. monitoring dates) goes to infinity.

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Citation topics
6 Social Sciences
6.10 Economics
6.10.80 Market Interdependencies
Web of Science research areas
Business, Finance
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