Discrete Lookbacks
Coauthors: Matteo Bissiri
We compare three algorithms (PDE, Monte Carlo and Transform Inversion) for pricing discretely monitored lookback options written on the minimum and the maximum attained by the underlying asset.
Files
Coauthors: Matteo Bissiri
We compare three algorithms (PDE, Monte Carlo and Transform Inversion) for pricing discretely monitored lookback options written on the minimum and the maximum attained by the underlying asset.
Files