Pricing lookback options with dividends

摘要：

We provide new and discrete time binomial approaches for pricing lookback options, and develop a numerical method for lookback options with dividends. By using generating functions, a very useful tool in lattice path enumeration, the computation of the approach for pricing lookback options is significantly simplified on the binomial tree. Numerical experiment shows that the approach is fast, accurate and easy to implement.

关键词： Lookback options Binomial tree Generating functions

作者: Jingfeng Xu Haijian Zhao Zheyuan Zhong

作者单位: China Institute for Actuarial Science Central University of Finance and EconomicsBeijing, China Center for Combinatorics Nankai University Tianjin, China

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 1226-1231

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）