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Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
Part of
E. H. A. Dia, D. Lamberton
Journal:

Advances in Applied Probability / Volume 43 / Issue 4 / December 2011

Published online by Cambridge University Press:

01 July 2016, pp. 1136-1165

Print publication:

December 2011
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Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremums of Lévy processes. In particular, we extend the results of Broadie, Glasserman and Kou (1999) to jump diffusion models. We also derive bounds for general exponential Lévy models.

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Connecting discrete and continuous lookback or hindsight options in exponential Lévy models