Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-009-0096-x.pdf
Reference43 articles.
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4. Atkinson, C., Fusai, G.: Discrete extrema of Brownian motion and pricing of exotic options. J. Comput. Finance 10, 1–44 (2007)
5. Babbs, S.: Binomial valuation of lookback options. J. Econ. Dyn. Control 24, 1499–1525 (2000)
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