Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A remark on the pricing of discrete lookback options
Anders Öhgren
Abstract
ABSTRACT
In this paper, it is shown how the Spitzer identity in some special situations can be used to find the exact theoretical price for some lookback options with discrete monitoring of the underlying asset price.
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