Lookback options with discrete and partial monitoring of the underlying price
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DOI: 10.1080/13504869500000014
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Cited by:
- Tian-Shyr Dai & Yuh-Yuan Fang & Yuh-Dauh Lyuu, 2005. "Analytics for geometric average trigger reset options," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 835-840.
- Hoi Wong & Yue Kwok, 2003. "Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks," Review of Derivatives Research, Springer, vol. 6(2), pages 83-106, May.
- Rahman Farnoosh & Hamidreza Rezazadeh & Amirhossein Sobhani & M. Hossein Beheshti, 2016. "A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 131-145, June.
- San‐Lin Chung & Yi‐Ta Huang & Pai‐Ta Shih & Jr‐Yan Wang, 2019. "Semistatic hedging and pricing American floating strike lookback options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 418-434, April.
- Leonardo Perotti & Lech A. Grzelak, 2022. "On Pricing of Discrete Asian and Lookback Options under the Heston Model," Papers 2211.03638, arXiv.org, revised Feb 2024.
- Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Kim, Geonwoo & Jeon, Junkee, 2018. "Closed-form solutions for valuing partial lookback options with random initiation," Finance Research Letters, Elsevier, vol. 24(C), pages 321-327.
- Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
- Farid Aitsahlia & Tzeung Le Lai, 1998. "Random walk duality and the valuation of discrete lookback options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 227-240.
- Lee, Hangsuck & Kim, Eunchae & Ko, Bangwon, 2022. "Valuing lookback options with barrier," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
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Keywords
exotic options; lookback options; risk neutral valuation; multivariate normal distribution; numerical integration;All these keywords.
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