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Comparison results for path-dependent options

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  • Bergenthum Jan

    (Universität Freiburg, Department of Mathematical Stochastics, Freiburg)

  • Rüschendorf Ludger

Abstract

In this paper comparison results of convex type are established for several path-dependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the path-dependent options is based on ordering properties of the local characteristics of the underlying processes as well as on suitable propagation of convexity property. These properties allow a stochastic analysis of the basic linking process which establishes a link between the value processes in the underlying models. The linking process gives a unified tool to obtain comparison results for these path-dependent options. This paper extends and unifies several results in the literature.

Suggested Citation

  • Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
    • Handle: RePEc:bpj:strimo:v:26:y:2008:i:1:p:53-72:n:5
    DOI: 10.1524/stnd.2008.0912
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    References listed on IDEAS

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    1. Vicky Henderson, 2000. "Price comparison results and super‐replication: An application to passport options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 16(4), pages 297-310, October.
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