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Random walk duality and the valuation of discrete lookback options 

Authors: Farid Aitsahlia; Tze Leung Lai
DOI: 10.1080/135048698334655
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 5, Issue 3 & 4 September 1998 , pages 227 - 240
Number of References: 15
Formats available: PDF (English)
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Abstract

Use is made of the duality property of random walks to develop a numerical method for the valuation of discrete-time lookback options. This method leads to a recursive numerical integration procedure which is fast, accurate and easy to implement.
Keywords: Exotic Options; Lookback Options; Recursive Numerical Integration; Random Walk Duality
view references (15) : view citations
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