• Corpus ID: 244773271

A General Approach for Lookback Option Pricing under Markov Models

@inproceedings{Zhang2021AGA,
  title={A General Approach for Lookback Option Pricing under Markov Models},
  author={Gongqiu Zhang and Lingfei Li},
  year={2021}
}
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient numerical quadrature with continuous-time Markov chain approximation for the first passage problem to price lookbacks. Our method is applicable to a variety of models, including one-dimensional timehomogeneous and time-inhomogeneous Markov processes, regime… 

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