A Technical Note, Looback Options: a comparison between Monte Carlo Techniques

  • Marcelo González A. Universidad de Chile
  • Antonio Parisi F. Universidad de Chile
  • Arturo Rodríguez P. Universidad de Chile

Abstract

Looback options are path dependent contingent claims whose payoffs depend on the extrema of the underlying asset price over a certain time interval. In this note we compare the performance of two Monte Carlo techniques to price lookback options, a crude Monte Carlo estimator and Antithetic variate estimator. We find that the Antithetic estimator performs better under a variety of performance measures.
Keywords Monte Carlo, Simulations, Options
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How to Cite
González A., M., Parisi F., A., & Rodríguez P., A. (2007). A Technical Note, Looback Options: a comparison between Monte Carlo Techniques. Estudios de Administración, 14(2), 119-128. doi:10.5354/0719-0816.2007.56445
Section
Technical Note
Published
2007-12-31