Pricing a Class of American and European Path Dependent Securities

DOI10.1287/MNSC.41.12.1892zbMATH Open0852.90024OpenAlexW2083661135MaRDI QIDQ4887766FDOQ4887766

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

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zbMATH Keywords

pricingvaluationderivativesswappath dependent securities

Mathematics Subject Classification ID

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

Cited In (3)

• An analysis of path-dependent options
• Title not available (Why is that?)
• Pricing the equity-linked and principal-protected securities with cap and path dependence

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