Open AccessA Technical Note, Looback Options: a comparison between Monte Carlo Techniques
Author(s) -
Aldo González,
Federico Parisi,
Pascal Rodríguez
Publication year - 2020
Publication title -
estudios de administración/estudios de administración
Language(s) - English
Resource type - Journals
eISSN - 0719-0816
pISSN - 0717-0653
DOI - 10.5354/0719-0816.2007.56445
Subject(s) - monte carlo method , estimator , monte carlo methods for option pricing , control variates , maxima and minima , computer science , econometrics , asset (computer security) , mathematical optimization , mathematics , hybrid monte carlo , statistics , markov chain monte carlo , mathematical analysis , computer security
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.