Fuh, Cheng-Der; Luo, Sheng-Feng; Yen, Ju-Fang - In: Journal of Banking & Finance 37 (2013) 8, pp. 2702-2713
We provide methodologies to price discretely monitored exotic options when the underlying evolves according to a double exponential jump diffusion process. We show that discrete barrier or lookback options can be approximately priced by their continuous counterparts’ pricing formulae with a...