COQUERET, GUILLAUME - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350012-1
We perform a Laplace transform inversion in the time parameter on the two Wiener-Hopf factors for a spectrally negative tempered stable Lévy process. This yields the issuing price of continuously monitored lookback options. We also propose a simulation technique for the purpose of Monte-Carlo...