Pricing of American lookback spread options (Q2196549)
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scientific article; zbMATH DE number 7243122
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing of American lookback spread options |
scientific article; zbMATH DE number 7243122 |
Statements
Pricing of American lookback spread options (English)
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3 September 2020
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American option
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lookback spread option
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optimal stopping
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maximum and minimum processes
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0.8123717308044434
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0.7966960668563843
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0.7840790748596191
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0.7820491790771484
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