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Lookback Option Pricer with MLMC

Posted by Gary Pai

Payoff:
$$S_T-\min_{0\leq t\leq T }S_t $$
Input:
Initial underlying asset price
Time to maturity		Years
Risk free interest rate (annulized)
Volatility (annulized)
Max Level (typically 3 to 5)
Base Samples (int >10000)
Output:
Autocallable value

The calculation is based on MLMC.

Tagged: Multilevel Monte Carlo (MLMC)

 •  Jan 2, 2025  •