Scale invariance and contingent claim pricing II: Path-dependent contingent claims
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References listed on IDEAS
- 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.
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
- Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
- Jiri Hoogland & Dimitri Neumann, 1999. "Scale invariance and contingent claim pricing," Finance 9907002, University Library of Munich, Germany.
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Cited by:
- Jiri Hoogland & Dimitri Neumann, 2001. "Tradable Schemes," Finance 0105003, University Library of Munich, Germany.
- Jiri Hoogland & Dimitri Neumann, 1999. "Scale invariance and contingent claim pricing," Finance 9907002, University Library of Munich, Germany.
- Jiri Hoogland & Dimitri Neumann, 2001. "Asians and cash dividends: Exploiting symmetries in pricing theory," Finance 0105002, University Library of Munich, Germany.
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More about this item
Keywords
contingent claim pricing; scale-invariance; homogeneity; partial differential equation;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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