Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models

El Hadj Aly Dia and Damien Lamberton
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El Hadj Aly Dia: LAMA
Damien Lamberton: LAMA

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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.

Date: 2010-09
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Published in Advances in Applied Probability 43, 4 (2011) 1136-1165

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