Valuation of American Lookback-Options and the Distribution of Kronecker Sequences

Gerhard Larcher; Stefan Pomberger

doi:10.2478/udt-2025-0001

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Valuation of American Lookback-Options and the Distribution of Kronecker Sequences

Uniform distribution theory

Volume 20 (2025): Issue 1 (May 2025)

By: Gerhard Larcher and Stefan Pomberger

Open Access

|Jun 2025

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.

References

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Articles in this issue

DOI: https://doi.org/10.2478/udt-2025-0001 | Journal eISSN: 2309-5377 | Journal ISSN: 1336-913X

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Language: English

Page range: 1 - 15

Submitted on: Oct 24, 2024

Accepted on: Apr 29, 2025

Published on: Jun 3, 2025

Published by: Slovak Academy of Sciences, Mathematical Institute

In partnership with: Paradigm Publishing Services

Publication frequency: 2 issues per year

Keywords:

lookback options,

derivative pricing,

discrepancy,

Koksma-Hlawka-inequality

Related subjects:

Mathematics,

Algebra and number theory,

Discrete mathematics,

Probability and statistics,

Numerical and computational mathematics

© 2025 Gerhard Larcher, Stefan Pomberger, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 20 (2025): Issue 1 (May 2025)