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

preprint2010arXivOpen access

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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