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Lookback Option Prices Under A Spectrally Negative Tempered-Stable Model

Author

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  • GUILLAUME COQUERET

    (ESSEC Business School, 1, Avenue Bernard Hirsch - 95000 Cergy, France)

Abstract

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 valuation and discuss the convergence rate to continuous prices when the number of discretization steps (i.e. monitoring dates) goes to infinity.

Suggested Citation

  • Guillaume Coqueret, 2013. "Lookback Option Prices Under A Spectrally Negative Tempered-Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-15.
    • Handle: RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s021902491350012x
    DOI: 10.1142/S021902491350012X
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    Cited by:

    1. Coqueret, Guillaume, 2015. "On the supremum of the spectrally negative stable process with drift," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 333-340.

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