The pricing of lookback options and binomial approximation
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DOI: 10.1007/s10203-016-0171-7
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- Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.
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Keywords
Lookback option; Cheuk–Vorst model; Pricing; Binomial cumulative distribution function; Asymptotic expansion;All these keywords.
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