Random walk duality and the valuation of discrete lookback options

Use is made of the duality property of random walks to develop a numerical method for the valuation of discrete-time lookback options. This method leads to a recursive numerical integration procedure which is fast, accurate and easy to implement.

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Year of publication:	1998
Authors:	Aitsahlia, Farid ; Lai, Tzeung Le
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 5.1998, 3-4, p. 227-240
Publisher:	Taylor & Francis Journals
Subject:	Exotic Options \| Lookback Options \| Recursive Numerical Integration \| Random Walk Duality

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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