Binomial valuation of lookback options

DOI10.1016/S0165-1889(99)00085-8zbMath0967.91030MaRDI QIDQ1583140

Simon H. Babbs

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

contractsbinomial approximationlookback options

Mathematics Subject Classification ID

Related Items (16)

The pricing of lookback options and binomial approximation ⋮ Fast numerical valuation of American, exotic and complex options ⋮ Random walk duality and the valuation of discrete lookback options ⋮ A finite element approach to the pricing of discrete lookbacks with stochastic volatility ⋮ Option pricing: a yet simpler approach ⋮ Exercise Regions And Efficient Valuation Of American Lookback Options ⋮ A general approach for lookback option pricing under Markov models ⋮ A fast numerical method for the valuation of American lookback put options ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ American lookback option with fixed strike price-2-D parabolic variational inequality ⋮ One-state variable binomial models for European-/American-style geometric Asian options ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ Double-exponential fast Gauss transform algorithms for pricing discrete lookback options ⋮ Lookback option pricing using the Fourier transform B-spline method ⋮ Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

Cites Work

• Unnamed Item
• Unnamed Item
• Martingales and arbitrage in multiperiod securities markets
• Multinomial Approximating Models for Options with k State Variables
• A Nonstandard Approach to Option Pricing
• Option pricing: A simplified approach
• A Method for Numerical Integration

This page was built for publication: Binomial valuation of lookback options