Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

Details Connecting discrete and continuous lookback or hindsight options in exponential Lévy models Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

2010-09-23

arxiv.org/abs/1009.4884v1

Economy

Quantitative Finance

Computational Finance

31 pp

Scientific paper

Motivated by the pricing of lookback options in exponential L\'evy models, we
study the difference between the continuous and discrete supremum of L\'evy
processes. In particular, we extend the results of Broadie et al. (1999) to
jump-diffusion models. We also derive bounds for general exponential L\'evy
models.

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