A Technical Note, Looback Options: a comparison between Monte Carlo Techniques
Looback options are path dependent contingent claims whose payoffs depend on the extrema of the underlying asset price over a certain time interval. In this note we compare the performance of two Monte Carlo techniques to price lookback options, a crude Monte Carlo estimator and Antithetic variate e...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidad de Chile
2007-02-01
|
| Series: | Estudios de Administración |
| Online Access: | https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56445 |
| Summary: | Looback options are path dependent contingent claims whose payoffs depend on the extrema of the underlying asset price over a certain time interval. In this note we compare the performance of two Monte Carlo techniques to price lookback options, a crude Monte Carlo estimator and Antithetic variate estimator. We find that the Antithetic estimator performs better under a variety of
performance measures. |
|---|---|
| ISSN: | 0717-0653 0719-0816 |