Exercise Regions And Efficient Valuation Of American Lookback Options
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.0960-1627.2004.00191.x/fullpdf
Reference34 articles.
1. Fast and accurate valuation of American barrier options
2. Random walk duality and the valuation of discrete lookback options
3. A canonical optimal stopping problem for American options and its numerical solution
4. Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion
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