Random walk duality and the valuation of discrete lookback options

Farid Aitsahlia and Tzeung Le Lai

Applied Mathematical Finance, 1998, vol. 5, issue 3-4, 227-240

Abstract: Use is made of the duality property of random walks to develop a numerical method for the valuation of discrete-time lookback options. This method leads to a recursive numerical integration procedure which is fast, accurate and easy to implement.

Keywords: Exotic Options; Lookback Options; Recursive Numerical Integration; Random Walk Duality (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/135048698334655 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:227-240

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAMF20

DOI: 10.1080/135048698334655

Access Statistics for this article

Applied Mathematical Finance is currently edited by Professor Ben Hambly and Christoph Reisinger

More articles in Applied Mathematical Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().