Mathematical analysis of pricing of lookback performance options

ISSN： 0003-6811

Source： Applicable Analysis, Vol.82, Iss.10, 2003-10, pp. : 937-959

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A Modified Binomial Tree Method for Currency Lookback Options

By Dai Min

Acta Mathematica Sinica, Vol. 16, Iss. 3, 2000-07 ,pp. : 445-454

Springer Publishing Company

Access to resources Recommend Favorite

A Stochastic Approximation Algorithm for American Lookback Put Options

By Zhang Zhenhua

Stochastic Analysis and Applications, Vol. 29, Iss. 2, 2011-03 ,pp. : 332-351

Taylor & Francis Ltd

Access to resources Recommend Favorite

Mathematical analysis of the two-color partial rainbow options

By Chang Der-Chen

Applicable Analysis, Vol. 84, Iss. 7, 2005-07 ,pp. : 737-757

Taylor & Francis Ltd

Access to resources Recommend Favorite

Primal-Dual Active Set Method for American Lookback Put Option Pricing

East Asian Journal on Applied Mathematics, Vol. 7, Iss. 3, 2017-09 ,pp. : 603-614

Cambridge University Press

Access to resources Recommend Favorite

Mathematical modelling and analysis of Asian options with stochastic strike price

By Calin Ovidiu

Applicable Analysis, Vol. 91, Iss. 1, 2012-01 ,pp. : 91-104

Taylor & Francis Ltd

Access to resources Recommend Favorite