A NEW METHOD OF PRICING LOOKBACK OPTIONS
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Publication:3370588
DOI10.1111/J.0960-1627.2005.00219.XzbMATH Open1153.91468OpenAlexW2081127909MaRDI QIDQ3370588FDOQ3370588
Peter W. Buchen, Otto Konstandatos
Publication date: 8 February 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00219.x
Cites Work
Cited In (15)
- Lookback option pricing under the double Heston model using a deep learning algorithm
- CLA’s, PLA’s and a new method for pricing general passport options
- Outside barrier lookback options with floating strike
- Pricing of American lookback spread options
- Title not available (Why is that?)
- Binomial valuation of lookback options
- Pricing of fixed-strike lookback options on assets with default risk
- Lookback option pricing for regime-switching jump diffusion models
- Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
- Back to basics: historical option pricing revisited
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- Random walk duality and the valuation of discrete lookback options
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- The pricing of dynamic fund protection with default risk
- Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
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