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Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models

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.
Year of publication:
2010-09
Authors: Dia, El Hadj Aly ; Lamberton, Damien
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Advances in Applied Probability 43, 4 (2011) 1136-1165
Source:
Persistent link: https://www.econbiz.de/10008680908
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