Binomial valuation of lookback options

DOI10.1016/S0165-1889(99)00085-8MaRDI QIDQ1583140zbMATH OpenFDO

Authors Simon H. Babbs

Publication date 26 October 2000

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(99)00085-8

zbMATH Keywords

binomial approximationcontractslookback options

Mathematics Subject Classification ID

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Cites work

• A Method for Numerical Integration
• A Nonstandard Approach to Option Pricing
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• Martingales and arbitrage in multiperiod securities markets
• Multinomial Approximating Models for Options with k State Variables
• Option pricing: A simplified approach

Cited in

(20)

• A modified binomial tree method for currency lookback options
• Option pricing: a yet simpler approach
• A fast numerical method for the valuation of American lookback put options
• Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
• The pricing of lookback options and binomial approximation
• Convergence of European lookback options with floating strike in the binomial model
• scientific article; zbMATH DE number 1735427 (Why is no real title available?)
• Fast numerical valuation of American, exotic and complex options
• Random walk duality and the valuation of discrete lookback options
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• One-state variable binomial models for European-/American-style geometric Asian options
• Exercise Regions And Efficient Valuation Of American Lookback Options
• Lookback option pricing using the Fourier transform B-spline method
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• A general approach for lookback option pricing under Markov models
• American lookback option with fixed strike price-2-D parabolic variational inequality
• Pricing exotic options in the incomplete market: an imprecise probability method
• On pricing lookback options under the CEV process
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options

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