On pricing lookback options under the CEV process |
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Authors: | Massimo Costabile |
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Affiliation: | (1) Dipartimento di Scienze Aziendali, Università della Calabria, |
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Abstract: | Abstract We consider the problem of pricing European lookback options when the underlying asset price is driven by a constant elasticity of variance (CEV) process. The evaluation model is based on the binomial approximation developed by Nelson and Ramaswamy (1990) and we show how to apply it in the case of such options. We develop simple pricing algorithms that compute accurate estimates of the option prices. |
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