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Article
Lookback option prices under a spectrally negative tempered-stable model
in International Journal of Theoretical and Applied Finance, 16 (3)
Voir la revue «International Journal of Theoretical and Applied Finance»
Autres numéros de la revue «International Journal of Theoretical and Applied Finance»
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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