Lookback option

Results: 17



#Item
1Numerical pricing of discrete barrier and lookback options via Laplace transforms Giovanni Petrella and Steven Kou 331 Mudd Building, Department of IEOR, Columbia University, New York, NY 10027, USA Most contracts of ba

Numerical pricing of discrete barrier and lookback options via Laplace transforms Giovanni Petrella and Steven Kou 331 Mudd Building, Department of IEOR, Columbia University, New York, NY 10027, USA Most contracts of ba

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Source URL: www.rmi.nus.edu.sg

Language: English - Date: 2004-09-23 12:01:54
2Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options Mark Davis, Walter Schachermayer and Robert Tompkins  Financial and Actuarial Mathematics Group Technische Universitat, Vienna, Austria September 1

Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options Mark Davis, Walter Schachermayer and Robert Tompkins  Financial and Actuarial Mathematics Group Technische Universitat, Vienna, Austria September 1

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Source URL: www.istfin.eco.usi.ch

Language: English - Date: 2009-01-27 08:17:16
3doi:S0927

doi:S0927

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Source URL: www.rmi.nus.edu.sg

Language: English - Date: 2007-12-06 11:00:36
4B I N O M I A L O P T I O N P R I C I N G, T H E B L A C K-S C H O L E S O P T I O N P R I C I N G F O R M U L A, A N D E X O T I C O P T I O N S Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Ex

B I N O M I A L O P T I O N P R I C I N G, T H E B L A C K-S C H O L E S O P T I O N P R I C I N G F O R M U L A, A N D E X O T I C O P T I O N S Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Ex

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Source URL: pluto.mscc.huji.ac.il

Language: English - Date: 2014-02-02 05:57:49
5MANAGEMENT SCIENCE Vol. 57, No. 11, November 2011, pp. 2067–2081 issn — eissn — 11 — 5711 — 2067 http://dx.doi.orgmnsc

MANAGEMENT SCIENCE Vol. 57, No. 11, November 2011, pp. 2067–2081 issn — eissn — 11 — 5711 — 2067 http://dx.doi.orgmnsc

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Source URL: www.rmi.nus.edu.sg

Language: English - Date: 2011-12-14 17:41:48
6Pricing Algorithms for Options with Exotic Path-Dependence The advantage of the forward shooting grid approach over the finite-difference approach becomes more apparent when the governing differential equation for the op

Pricing Algorithms for Options with Exotic Path-Dependence The advantage of the forward shooting grid approach over the finite-difference approach becomes more apparent when the governing differential equation for the op

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Source URL: www.csc.ust.hk

Language: English - Date: 2002-01-21 19:48:38
7Quanto lookback options Min Dai Institute of Mathematics and Department of Financial Mathematics Peking University, Beijing, China (e-mails: ) Hoi Ying Wong

Quanto lookback options Min Dai Institute of Mathematics and Department of Financial Mathematics Peking University, Beijing, China (e-mails: ) Hoi Ying Wong

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Source URL: www.csc.ust.hk

Language: English - Date: 2002-01-21 19:48:54
8Minimax Option Pricing Meets Black-Scholes in the Limit ∗ Jacob Abernethy Rafael M. Frongillo

Minimax Option Pricing Meets Black-Scholes in the Limit ∗ Jacob Abernethy Rafael M. Frongillo

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Source URL: web.eecs.umich.edu

Language: English - Date: 2013-10-28 18:03:14
9S – Approximations of Special Functions S30BAF NAG Library Routine Document S30BAF

S – Approximations of Special Functions S30BAF NAG Library Routine Document S30BAF

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Source URL: nag.com

Language: English - Date: 2013-01-25 10:47:20
10Asymptotic Method for Singularity in Path-Dependent Option Pricing Sang-Hyeon Park, Jeong-Hoon Kim Dept. Math. Yonsei University June 2010

Asymptotic Method for Singularity in Path-Dependent Option Pricing Sang-Hyeon Park, Jeong-Hoon Kim Dept. Math. Yonsei University June 2010

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-25 10:24:10