Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007697" target="_blank" >RIV/61989100:27510/03:00007697 - 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

Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price

Original language description

In general, there exist several types of options with more complicated pay-offs. In some cases there are available analytical formulas to detect option price. However, there is a lot of option referred to as path dependent. In this case the final pay-offdepends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of the pricing problem is used to price these options the error (and possible loss) can be huge. In this paper we look more closely on lookback call and present some results given by numerical methods, in particular Monte Carlo simulation and simulation via Lattice model.

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

EUR - Evropská akce

UT code for WoS article

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