The price of a lookback option as the solution of a boundary-value problem for the heat equation (Q1037040)
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scientific article; zbMATH DE number 5633004
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| English | The price of a lookback option as the solution of a boundary-value problem for the heat equation |
scientific article; zbMATH DE number 5633004 |
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The price of a lookback option as the solution of a boundary-value problem for the heat equation (English)
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13 November 2009
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lookback option
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Black-Scholes-Merton model
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parabolic PDE
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boundary value problem
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Laplace transform
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0.806516170501709
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0.8010355234146118
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0.7869594693183899
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0.7759415507316589
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