Home / Journals / Uniform Distribution Theory (UDT) / UDT. Volume 20. Issue 1 & 2 / Valuation of American Lookback-Options and the Distribution of Kronecker Sequences

Uniform Distribution Theory
CC: Creative Commons BY: credit must be given to the creator. ND: No derivatives or adaptations of the work are permitted.

Journal

Uniform Distribution Theory (UDT)


Volume & Issue

UDT. Volume 20. Issue 1 & 2


Published on

June, 2025


Pages

1-15


DOI

http://doi.org/10.2478/UDT-2025-0001

Article

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


Authors

Gerhard Larcher and Stefan Pomberger


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.


Citation

Larcher, G. & Pomberger, S. (2025). Valuation of American Lookback-Options and the Distribution of Kronecker Sequences. Uniform distribution theory, 20(1), 1-15. https://doi.org/10.2478/udt-2025-0001