How is the pseudo-code in Box 14.4 to be modified, to valuate a European fixed strike lookback

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How is the pseudo-code in Box 14.4 to be modified, to valuate a European fixed strike lookback call?

Box 14.4

Box 14.4 Pseudo-code for fixed strike arithmetic Asian call

Initialization Set N. M b =r > Cost-of-carry rate At = T/M Path replication D Path discretization For n = 1 to N For m =

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 12, 2018 12:06 PM

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How is the pseudo-code in Box 14.4 to be modified, to valuate a European fixed strike lookback

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A First Course in Quantitative Finance

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