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Lookback option prices under a spectrally negative tempered-stable model

Author

Listed:
  • Guillaume Coqueret

    (ESSEC Business School)

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," Post-Print hal-02312224, HAL.
    • Handle: RePEc:hal:journl:hal-02312224
    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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