Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks (Q1421714)
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scientific article; zbMATH DE number 2037008
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| English | Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks |
scientific article; zbMATH DE number 2037008 |
Statements
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks (English)
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3 February 2004
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option pricing
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replication strategy
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0.7171139717102051
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0.7103275060653687
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0.6952752470970154
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0.6928358674049377
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0.6878437399864197
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