Lookback option prices under a spectrally negative tempered-stable model

Guillaume Coqueret ()
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Guillaume Coqueret: ESSEC Business School

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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: 2013-05-01
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Citations: View citations in EconPapers (1)

Published in International Journal of Theoretical and Applied Finance, 2013, 16 (3), ⟨10.1142/S021902491350012X⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312224

DOI: 10.1142/S021902491350012X

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