Title :
Pricing Lookback Options with Dividends
Author :
Xu, Jingfeng ; Zhao, Haijian ; Zhong, Zheyuan
Author_Institution :
China Inst. for Actuarial Sci., Central Univ. of Finance & Econ., Beijing, China
Abstract :
We provide new and discrete time binomial approaches for pricing look back options, and develop a numerical method for look back options with dividends. By using generating functions, a very useful tool in lattice path enumeration, the computation of the approach for pricing look back options is significantly simplified on the binomial tree. Numerical experiment shows that the approach is fast, accurate and easy to implement.
Keywords :
discrete time systems; pricing; trees (mathematics); binomial tree; discrete time binomial approach; dividend; lattice path enumeration; pricing lookback option; Complexity theory; Equations; Lattices; Mathematical model; Monitoring; Monte Carlo methods; Pricing; Binomial tree; Generating functions; Lookback options;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location :
Yunnan
Print_ISBN :
978-1-4244-9712-6
Electronic_ISBN :
978-0-7695-4335-2
DOI :
10.1109/CSO.2011.208
