Lookback options: how to price with skewness and kurtosis

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007689" target="_blank" >RIV/61989100:27510/03:00007689 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Lookback options: how to price with skewness and kurtosis

Original language description

Distribution characteristics of many types of options underlying assets returns contradict the assumption of normality. In this paper we look more closely how to price special type of path dependent options - the lookback call - in presence of non-Gaussian behaviour. In particular we study the effect of skewness and kurtosis. In order to price the option we apply numerical method, that is, we simulate the underlying asset price evolution in the way that allows us to obtain non-Gaussian distribution of returns.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mendelnet 03

ISBN

80-7157-719-7

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

1-8

Publisher name

Mendelova zemědělská a lesnická univerzita v Brně

Place of publication

Brno

Event location

Brno

Event date

Nov 28, 2003

Type of event by nationality

CST - Celostátní akce

UT code for WoS article

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