Mathematical analysis of pricing of lookback performance options

DOI10.1080/00036810310001596610MaRDI QIDQ4465021zbMATH OpenOpenAlexFDO

Authors Eric C. Chang, Haitao Fan, Der-Chen Chang

Publication date 27 May 2004

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036810310001596610

zbMATH Keywords

Brownian MotionCall OptionDensity FunctionError FunctionPut Option

Mathematics Subject Classification ID

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