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Article Dans Une Revue International Journal of Theoretical and Applied Finance Année : 2013

Lookback option prices under a spectrally negative tempered-stable model

Guillaume Coqueret

Résumé

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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Dates et versions

hal-02312224 , version 1 (11-10-2019)

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  • HAL Id : hal-02312224 , version 1

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Guillaume Coqueret. Lookback option prices under a spectrally negative tempered-stable model. International Journal of Theoretical and Applied Finance, 2013, 16 (3). ⟨hal-02312224⟩

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