Binomial valuation of lookback options-Reference-Cited by-同舟云学术

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Binomial valuation of lookback options

Published:2000-10 Issue:11-12 Volume:24 Page:1499-1525
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Babbs Simon

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference28 articles.

1. Babbs, S.H., 1986. FX Hindsight Options, manuscript memorandum.

2. Babbs, S.H., 1990. The term structure of interest rates: stochastic processes and contingent claims. Ph.D. Thesis, London University.

3. Babbs, S.H., Salkin, G.R., 1987. The valuation of multivariate contingent claims in continuous time models. Working paper.

4. Efficient analytic approximation of American option values;Barone-Adesi;Journal of Finance,1987

5. The valuation of American put options;Brennan;Journal of Finance,1977

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1. A general approach for lookback option pricing under Markov models;Quantitative Finance;2023-07-23

2. Pricing exotic options in the incomplete market: An imprecise probability method;Applied Stochastic Models in Business and Industry;2022-01-31

3. Option pricing: a yet simpler approach;Decisions in Economics and Finance;2021-06-16

4. Pricing formulas of barrier-lookback option in uncertain financial markets;Chaos, Solitons & Fractals;2021-06

5. Easy money? Managerial power and the option backdating game revisited;Journal of Banking & Finance;2020-09

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