| dc.description.abstract | Applying a numerical method made of the duality theory of random walks to analyze
and evaluate the discrete-time lookback options using. This methodology provides a
recursive numerical integration which gives fast and accurate results. In this thesis, we
mainly introduce the theoretical basis for the recursive integration method and then
use this algorithms and the Monte Carlo model to simulate the option price. In addition,
we make comparisons based on the results of Monte Carlo simulation and the
results of recursive integration. According to these comparisons, we can recognize the
advantages and disadvantages of each method
Keywords: exotic options, lookback options, recursive numerical integration, random
walk duality | en_US |
