Advances in Applied Probability

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

E. H. A. Dia and D. Lamberton

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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.

Article information

Adv. in Appl. Probab., Volume 43, Number 4 (2011), 1136-1165.

First available in Project Euclid: 16 December 2011

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G51: Processes with independent increments; Lévy processes 60J75: Jump processes 65N15: Error bounds
Secondary: 91G20: Derivative securities

Exponential Lévy model lookback option continuity correction


Dia, E. H. A.; Lamberton, D. Connecting discrete and continuous lookback or hindsight options in exponential Lévy models. Adv. in Appl. Probab. 43 (2011), no. 4, 1136--1165. doi:10.1239/aap/1324045702.

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