Pricing of discretely sampled lookback options in presence of kurtosis and skewness
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007690" target="_blank" >RIV/61989100:27510/03:00007690 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Pricing of discretely sampled lookback options in presence of kurtosis and skewness
Original language description
The aim of the paper is to examine the effect of non-Gaussian characteristic of underlying asset distribution on the price of the lookback options. At first, we look more closely at the convergence of numerical methods. As a numeraire we take a BS value.Secondly, we apply two different characteristics of underlying asset distribution, typical for stock exchange markets and foreign exchange markets. Results are given by application of Monte Carlo simulation and simulation via tree as in Rubinstein (1998)
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Future of the Banking after the Year 2000 in the World and in the Czech Republic
ISBN
80-7248-215-7
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
1-14
Publisher name
Slezská univerzita v Opavě, OPF Karviná
Place of publication
Karviná
Event location
Karviná
Event date
Oct 15, 2003
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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