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Unifying exotic option closed formulas

Author

Listed:
  • Carlos Veiga
  • Uwe Wystup
  • Manuel Esquível

Abstract

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Suggested Citation

  • Carlos Veiga & Uwe Wystup & Manuel Esquível, 2012. "Unifying exotic option closed formulas," Review of Derivatives Research, Springer, vol. 15(2), pages 99-128, July.
    • Handle: RePEc:kap:revdev:v:15:y:2012:i:2:p:99-128
    DOI: 10.1007/s11147-011-9071-8
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    References listed on IDEAS

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    1. Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-1127, December.
    2. Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 277-283, September.
    3. Conze, Antoine & Viswanathan, 1991. "Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    5. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    6. Vorst, Ton, 1992. "Prices and hedge ratios of average exchange rate options," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 179-193.
    7. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    8. Carlos Veiga & Uwe Wystup, 2009. "Closed Formula for Options with Discrete Dividends and Its Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(6), pages 517-531.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Exotic options; Mountain range; Discrete lookback; Closedformula; Payoff language; Multi-asset multi-currency model; C02;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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