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2013-06-12 - Colloque/Présentation - communication orale - Anglais - 0 page(s)

Heuwelyckx Fabien , "On the Convergence of European Lookback Options with Floating Strike in the Binomial Model" in Advances in Mathematics of Finance - 6th General AMaMeF and Banach Center Conference, Varsovie, Pologne, 2013

  • Codes CREF : Mathématiques (DI1100), Probabilités (DI1132)
  • Unités de recherche UMONS : Probabilité et statistique (S844)
  • Instituts UMONS : Institut de Recherche sur les Systèmes Complexes (Complexys)
  • Centres UMONS : Modélisation mathématique et informatique (CREMMI)
Texte intégral :

Abstract(s) :

(Anglais) In this talk we study the convergence of the price of European lookback options with floating strike with the Cox-Ross-Rubinstein model to its evaluation with the Black-Scholes model when the number of intervals increases. We confirm that this convergence is of order 1/√n. To start we recall as Cheuk and Vorst built their lattice, which is equivalent to the Cox, Ross and Rubinstein lattice. This will be useful in order to write the price of the option using a double sum. By applying an important lemma obtained from the work of Uspensky, we are able to give the precise value of coefficients in the asymptotic expansion of the price.