Pricing of lookback options under stochastic interest rates

zbMATH Open1150.91418MaRDI QIDQ3501608FDOQ3501608

Authors: Yanqiu Zhang, Xueqiao du 

Publication date: 3 June 2008

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zbMATH Keywords

Girsanov theoremequivalent martingale measures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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