A modified binomial tree method for currency lookback options

DOI10.1007/S101140000068MaRDI QIDQ1586084zbMATH OpenOpenAlexFDO

Authors Min Dai

Publication date 18 February 2001

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s101140000068

zbMATH Keywords

path dependent optionsPDE approachcurrency lookback optionsmodified binomial tree method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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Cites work

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• scientific article; zbMATH DE number 1735427 (Why is no real title available?)
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 815352 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• Option pricing: A simplified approach
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• User’s guide to viscosity solutions of second order partial differential equations

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(9)

• The pricing of lookback options and binomial approximation
• American lookback option with fixed strike price-2-D parabolic variational inequality
• A fast numerical method for the valuation of American lookback put options
• Binomial valuation of lookback options
• scientific article; zbMATH DE number 1735427 (Why is no real title available?)
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• A general approach for lookback option pricing under Markov models
• Analytical binomial lookback options with double-exponential jumps
• One-state variable binomial models for European-/American-style geometric Asian options

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