Discrete barrier and lookback options

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Please refer to this blog post for more information. Discrete barrier and lookback options are among the most popular path-dependent options in markets.

Numerical pricing of discrete barrier and lookback options via Laplace transforms - wunesajoc.web.fc2.com

However, due to the discrete monitoring policy almost no analytical solutions are available for them. We shall focus on the following methods for discrete barrier and lookback option prices: This survey also contains a new more direct derivation of a constant related to the continuity correction approximation.

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Barrier option - Wikipedia

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Please enable JavaScript to use all the features on this page. Handbooks in Operations Research and Management Science Volume 15, Pages Chapter 8 Discrete Barrier and Lookback Options.

Efficient pricing lookback options under Levy processes

Author links open the author workspace. Opens the author workspace Department of Industrial Engineering and Operations Research, Columbia University.

Abstract Discrete barrier and lookback options are among the most popular path-dependent options in markets. Check if you have access through your login credentials or your institution.

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