Arbitrage pricing of Russian options and perpetual lookback options
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Publication:1308694
DOI10.1214/AOAP/1177005356zbMath0783.90009OpenAlexW2019375952MaRDI QIDQ1308694
J. Michael Harrison, J. Darrell Duffie
Publication date: 17 March 1994
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005356
Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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