5
$\begingroup$

I would like to price a floating strike american lookback with a particular feature: I don't want to charge upfront the client, rather I would like to insert a "running fee", some sort of a dividend.

For a European case it is simple: the integral over the life of the running fee must equal the price. How to extend it in an American case? References are welcome, even if they don't refer to the lookback.

$\endgroup$
  • $\begingroup$ You could do Monte Carlo Monte Carlo, or LSMC $\endgroup$ – adam May 13 '16 at 14:21

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.