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 to price lookback options, a crude Monte Carlo estimator and Antithetic variate estimator. We find that the Antithetic estimator performs better under a variety of performance measures.
González A., M., Parisi F., A., & Rodríguez P., A. (2007). A Technical Note, Looback Options: a comparison between Monte Carlo Techniques. Estudios De Administración, 14(2), 119–128. https://doi.org/10.5354/0719-0816.2007.56445
