Valuation of American Lookback-Options and the Distribution of Kronecker Sequences
Abstract In this paper, we determine the complexity of calculating the fair value of an American lookback-option in a binomial n–step model via backwardation. It will turn out, that the complexity also depends on diophantine properties of a certain parameter of the model. Therefore, we will need some basic tools from the theory of uniform distribution for the determination of the complexity.
Authors
- Gerhard Larcher (ORCID: https://orcid.org/0000-0001-8191-5824)
- Stefan Pomberger (ORCID: https://orcid.org/0009-0009-6770-1040)
Institutions
- Johannes Kepler University of Linz (AT)
Publication Details
- Journal
- Uniform distribution theory
- Published
- 2025-05-01
- DOI
- https://doi.org/10.2478/udt-2025-0001
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00