Random walk duality and the valuation of discrete lookback options

Use is made of the duality property of random walks to develop a numerical method for the valuation of discrete-time lookback options. This method leads to a recursive numerical integration procedure which is fast, accurate and easy to implement.Exotic Options, Lookback Options, Recursive Numerical Integration, Random Walk Duality,

American option pricing under stochastic volatility: an efficient numerical approach

American option pricing, Optimal stopping, Approximate dynamic programming, Stochastic volatility, Doob–Meyer decomposition, Monte–Carlo,