Pricing American Lookback Options Under the CEV process
2008
Hochschulschrift
Zugriff:
96
Costabile (2006) developed simple pricing algorithms that compute accurate estimates of the European lookback options prices. This paper is going to evaluate the American lookback options of CEV process (Costant Elasticity of Variance) which was supported by Costabile. The evaluation model is based on the binomial approximatin developed by Nelson and ramaswamy (1990) and we show how to apply it in the case of such options. Numerical results show that based on the value of α, the less alpha value is, the higher call option value would be and vice versa. Furthermore, The traditional valuating method was improved by Costabile, but the superior results have to be supported by increasing the number of monitoring points.
Titel: |
Pricing American Lookback Options Under the CEV process
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Autor/in / Beteiligte Person: | Tong, San-Feng ; 童三峰 |
Link: | |
Veröffentlichung: | 2008 |
Medientyp: | Hochschulschrift |
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