About: Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price

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About: Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In general, there exist several types of options with more complicated pay-offs. In some cases there are available analytical formulas to detect option price. However, there is a lot of option referred to as path dependent. In this case the final pay-offdepends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of the pricing problem is used to price these options the error (and possible loss) can be h uge. In this paper we look more closely on lookback call and present some results given by numerical methods, in particular Monte Carlo simulation and simulation via Lattice model. In general, there exist several types of options with more complicated pay-offs. In some cases there are available analytical formulas to detect option price. However, there is a lot of option referred to as path dependent. In this case the final pay-offdepends on the path of the underlying price in some way. The big problem arises if the path is observable only in finite set of days. If the continuous solution of the pricing problem is used to price these options the error (and possible loss) can be h uge. In this paper we look more closely on lookback call and present some results given by numerical methods, in particular Monte Carlo simulation and simulation via Lattice model. (en)
Title	Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price (en)
skos:prefLabel	Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price Convergence of discrete numerical pricing of lookback options to continuous solution and the effect of discretisation on the price (en)
skos:notation	RIV/61989100:27510/03:00007697!RIV/2004/MSM/275104/N
http://linked.open.../vavai/riv/strany	1-8
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat	2004
http://linked.open...aciTvurceVysledku	Lichnovský, Petr Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	602230
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/03:00007697
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Vanilla option, path-dependent option, lookback call, Monte Carlo simulation, Lattice model (en)
http://linked.open.../riv/klicoveSlovo	Vanilla option lookback call path-dependent option Lattice model - Elasto-brittle elements - Non-proportional load-path - Stiffness recovery - Aggregate interlocking Monte Carlo simulation
http://linked.open...ontrolniKodProRIV	[2C1D773EBE74]
http://linked.open...v/mistoKonaniAkce	Brno
http://linked.open...i/riv/mistoVydani	Brno
http://linked.open...i/riv/nazevZdroje	Mendelnet 03
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...ocetUcastnikuAkce	0 (xsd:int)
http://linked.open...nichUcastnikuAkce	0 (xsd:int)
http://linked.open...UplatneniVysledku	2003
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Lichnovský, Petr
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2003-11-28 (xsd:date)
http://linked.open...n/vavai/riv/zamer	http://linked.opendata.cz/resource/domain/vavai/zamer/MSM%20275100015
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Mendelova zemědělská a lesnická univerzita v Brně
https://schema.org/isbn	80-7157-719-7
http://localhost/t...ganizacniJednotka	27510

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