Outside barrier lookback options with floating strike

DOI10.1007/S42952-021-00141-5OpenAlexW3188339644MaRDI QIDQ2132059

Gaeun Lee, Yang Ho Choi, Hangsuck Lee

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-021-00141-5

zbMATH Keywords

lookback optionbarrier optionesscher transformlookback outside barrier options

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

Cites Work

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