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Simulation of European Lookback Options

R. Aboulaich, A. Alami Idrissi, M. Lamarti Sefian

Abstract


Accuracy and speediness of pricing methods have a big interest in financial market. In this work, the price of a European Lookback option is computed by several methods and considering two dynamics. Monte-Carlo simulation for Black–Scholes model is compared to Merton model with jumps. Moreover, for the Black–Scholes model the computation is
made using Binomial and Trinomial methods. In the last part, the PDE models are solved using Finite Element method.

Keywords


Pricing of Lookback Option, Monte-Carlo method, Binomial and Trinomial methods, Finite Element method.

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