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Computing exponential moments of the discrete maximum of a Lévy process and lookback options

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  • Liming Feng

    ()

  • Vadim Linetsky

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0096-x
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 13 (2009)
    Issue (Month): 4 (September)
    Pages: 501-529

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    Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:501-529

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Lévy processes; Discrete maximum; Exponential moments; Esscher transform; Discrete lookback options; Fourier transform; Hilbert transform; Sinc expansion; 60G70; 60J75; 65T99; G13;

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    References

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    1. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
    2. Vadim Linetsky, 2004. "Lookback options and diffusion hitting times: A spectral expansion approach," Finance and Stochastics, Springer, vol. 8(3), pages 373-398, 08.
    3. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Farid Aitsahlia & Tzeung Le Lai, 1998. "Random walk duality and the valuation of discrete lookback options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 227-240.
    5. S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
    6. Babbs, Simon, 2000. "Binomial valuation of lookback options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1499-1525, October.
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    Cited by:
    1. Lingfei Li & Vadim Linetsky, 2012. "Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models," Papers 1204.3679, arXiv.org.

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