Timeline for What is the probability of a lookback option ending in the money (CRR-model)

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Apr 4, 2020 at 5:22	comment	added	Kermittfrog		Comment removed
Apr 3, 2020 at 22:32	comment	added	Oscar		The timing is clearly not irrelevant if you look at the example above, where we indeed have U=1/D. Also, would your calculations above not be for the risk neutral probability of ending up in the money? I imagine that is all we can hope to calculate, but might be worth noting the distinction.
Mar 5, 2020 at 19:37	comment	added	Kermittfrog		To my understanding, in the CRR model we have U=e^{\sigma\sqrt{\Delta t}}=1/D , thus the timing is irrelevant.
Mar 5, 2020 at 9:53	comment	added	Stelios Kounis		Thanks for answering, but if i am not mistaken the number of downs is not sufficient to find the minimum since the "place" the downs appear affect the min, see this example lets say we have one down movement and two ups then we can have that $S_N=(110,121,108.9)$ for U=1.1 D=0.9 , and in this case the min is 108.9 or say the first move is down i.e $S_N=(90,99,108.9)$ in this case you see that the min is different. Did i mis-understood your answer?
Mar 4, 2020 at 20:05	history	answered	Kermittfrog	CC BY-SA 4.0