Lookback options with discrete and partial monitoring of the underlying price
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Publication:4994409
DOI10.1080/13504869500000014zbMath1466.91340OpenAlexW1976607776MaRDI QIDQ4994409
Harry M. Kat, Ronald C. Heynen
Publication date: 18 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869500000014
numerical integrationexotic optionsmultivariate normal distributionlookback optionsrisk neutral valuation
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