A modified binomial tree method for currency lookback options
DOI10.1007/S101140000068zbMATH Open0994.91021OpenAlexW2049215413MaRDI QIDQ1586084FDOQ1586084
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
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Cites Work
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- User’s guide to viscosity solutions of second order partial differential equations
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- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Option pricing: A simplified approach
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Cited In (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
- Title not available (Why is that?)
- 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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