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Discrete Lookback Call Option Price

Posted by Chun-Yuan Chiu  •  Filed under Derivatives Pricing

Discrete Lookback Call Option Price

Input:
Initial underlying asset price
Time to maturity		Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of partitions
Number of paths
Output:
Call value

The calculation is based on Monte Carlo method.

Tagged: Monte Carlo, Exotic Option

 •  Feb 4, 2012  •