Pricing a Class of American and European Path Dependent Securities

DOI10.1287/MNSC.41.12.1892MaRDI QIDQ4887766zbMATH OpenOpenAlexFDO

Authors Jimmy E. Hilliard, James B. Kau, Donald C. Keenan, Walter J. III Muller

Publication date 5 August 1996

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.12.1892

zbMATH Keywords

pricingvaluationderivativesswappath dependent securities

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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