LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL

DOI10.1142/S021902491350012XzbMath1269.91085OpenAlexW2025449848MaRDI QIDQ2841328

Guillaume Coqueret

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491350012x

zbMATH Keywords

Monte Carlo simulationWiener-Hopf factorizationLévy processdiscrete monitoringpricing lookback optionsspectrally negative tempered stable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On the supremum of the spectrally negative stable process with drift

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