Browsing by Author "Rodríguez P., Arturo"
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González Araya, Marcelo; Parisi Fernández, Antonino; Rodríguez P., Arturo (Universidad de Chile. Facultad de Economía y Negocios, 2007)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 ...