Chapter 8 Discrete Barrier and Lookback Options-Reference-Cited by-同舟云学术

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Chapter 8 Discrete Barrier and Lookback Options

Published:2007 Issue: Volume: Page:343-373
ISSN:0927-0507
Container-title:Financial Engineering
language:
Short-container-title:

Author:

Kou S.G.

Publisher

Elsevier

Reference81 articles.

1. The Fourier series method for inverting transforms of probability distributions;Abate;Queueing Systems,1992

2. Pricing discrete barrier options with an adaptive mesh;Ahn;Journal of Derivatives,1999

3. Valuation of discrete barrier and hindsight options;Ait-Sahalia;Journal of Financial Engineering,1997

4. Random walk duality and valuation of discrete lookback options;Ait-Sahalia;Applied Mathematical Finance,1998

5. Universal option valuation using quadrature methods;Andricopoulos;Journal of Financial Economics,2003

Cited by 41 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Partial quanto lookback options;The North American Journal of Economics and Finance;2023-01

2. Investigating the difference of option’s real values between Lookback option and European option based on price models;Highlights in Business, Economics and Management;2022-12-12

3. Continuity correction: on the pricing of discrete double barrier options;Review of Derivatives Research;2022-11-24

4. Pricing some life-contingent lookback options under regime-switching Lévy models;Journal of Computational and Applied Mathematics;2022-06

5. A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation;Review of Derivatives Research;2022-04-02

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