A finite element approach to the pricing of discrete lookbacks with stochastic volatility

DOI10.1080/135048699334564zbMath1009.91030OpenAlexW2076984845MaRDI QIDQ4541570

R. Zvan, Kenneth Vetzal, Peter A. I. Forsyth

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048699334564

zbMATH Keywords

stochastic volatilityoption pricelookback optionsboundary equations

Mathematics Subject Classification ID

First-order nonlinear hyperbolic equations (35L60) Derivative securities (option pricing, hedging, etc.) (91G20)

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