Pricing Lookback Options

Lookback options let the contract holder trade the underlying asset at the optimum price reached over the life of the contract. They are often purchased by investors who want to avoid the regret of not anticipating the correct market timing.

Jump Diffusion

This Excel spreadsheet provides a simple implementation of jump diffusion.  This technique is useful for modeling stock prices (or indeed other commodities, such as energy prices) subject to sudden shocks.