All the explicit formulae for the valuation of lookback and barrier options available in the financial literature assume continuous monitoring of the underlying asset. In practice, however, monitoring is always discrete, and the gap between continuously and discretely monitored option values can...

We perform a Laplace transform inversion in the time parameter on the two Wiener-Hopf factors for a spectrally negative tempered stable Lévy process. This yields the issuing price of continuously monitored lookback options. We also propose a simulation technique for the purpose of Monte-Carlo...