CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

DOI10.1142/S0219024914500253zbMath1308.91189arXiv1302.2312MaRDI QIDQ2874731

Fabien Heuwelyckx

Publication date: 8 August 2014

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

Full work available at URL: https://arxiv.org/abs/1302.2312

zbMATH Keywords

convergenceasymptoticBlack-Scholesbinomial modelfloating strikelookback

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The pricing of lookback options and binomial approximation, Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model, A fast numerical method for the valuation of American lookback put options

Cites Work

• Unnamed Item
• Binomial valuation of lookback options
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• The rate of convergence of the binomial tree scheme
• Convergence of strategies: An approach using Clark-Haussmann's formula
• Smooth convergence in the binomial model
• Stochastic Finance
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Binomial models for option valuation - examining and improving convergence
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Asymptotics of the price oscillations of a European call option in a tree model
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
• ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
• Option pricing: A simplified approach