Two Exotic Lookback Options
Author:
Affiliation:
1. a J.P. Morgan , London, UK
2. b School of Mathematics and Statistics , The University of Sydney , Sydney, Australia
3. c School of Finance and Economics , The University of Technology , Sydney, New South Wales, Australia
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504860802012824
Reference16 articles.
1. Bermin , H. P. 1998. Essays on lookback and barrier options: a Malliavin calculus approach, Lund University
2. The pricing of dual-expiry exotics
3. A NEW METHOD OF PRICING LOOKBACK OPTIONS
4. Two extensions to barrier option valuation
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