LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL

Guillaume Coqueret ()
Additional contact information
Guillaume Coqueret: ESSEC Business School, 1, Avenue Bernard Hirsch - 95000 Cergy, France

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 03, 1-15

Abstract: 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.

Keywords: Pricing lookback options; discrete monitoring; Monte-Carlo simulation; spectrally negative tempered stable process (search for similar items in EconPapers)
Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021902491350012X
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:wsi:ijtafx:v:16:y:2013:i:03:n:s021902491350012x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021902491350012X

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().