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arXiv · 1009.4884

Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

El Hadj Aly Dia·Damien Lamberton
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Abstract

Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremum of Lévy processes. In particular, we extend the results of Broadie et al. (1999) to jump-diffusion models. We also derive bounds for general exponential Lévy models.

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El Hadj Aly Dia, Damien Lamberton. 2010-09-23. Connecting discrete and continuous lookback or hindsight options in exponential Lévy models. https://arxiv.org/abs/1009.4884

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