Pricing of Fixed-Strike Lookback Options on Assets with Default Risk

Table 2

Change in the relative errors for the Monte-Carlo simulation and the numerical solution by Finite Difference Method (FDM) against closed-form solution of VFSLCO in terms of the underlying asset price. The parameter values are given by , , , , , , , , , and .

(Underlying asset price)	Monte-Carlo simulation	Closed-form solution	Relative error 1
90	7.7215	7.8128	0.01160
100	15.9428	16.0846	0.00881
110	25.7262	25.8752	0.00575
120	35.5096	35.6658	0.00438
130	45.2930	45.4563	0.00359
(Underlying asset price)	Numerical Solution by FDM	Closed-form solution	Relative error 2
90	8.1840	7.8128	0.04751
100	16.1701	16.0846	0.00531
110	25.9693	25.8752	0.00363
120	35.7684	35.6658	0.00287
130	45.5675	45.4563	0.00244