Random walk duality and the valuation of discrete lookback options (Q4541565)

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scientific article; zbMATH DE number 1771961
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Random walk duality and the valuation of discrete lookback options
scientific article; zbMATH DE number 1771961

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    Random walk duality and the valuation of discrete lookback options (English)
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    4 September 2002
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    duality
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    discrete-time lookback options
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    numerical integration
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