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Path Dependent Options: The Case of Lookback Options

  • Published:1991-12 Issue:5 Volume:46 Page:1893-1907
  • ISSN:0022-1082
  • Container-title:The Journal of Finance
  • language:en
  • Short-container-title:The Journal of Finance

Author:

CONZE ANTOINE,VISWANATHAN

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference18 articles.

1. Pricing path contingent claims;Bergman;Research in Finance,1985

2. Temps d'arrêt optimal, théorie générale des processus et processus de Markov;Bismut;Zeitscrift far Wahrscheinlichkeit Verwwandere Gebiete,1977

3. The pricing of options and corporate liabilities;Black;Journal of Political Economics,1973

4. Briys , E. M. Crouhy R. Schöbel 1988 The pricing of interest rate cap, floor and collar agreements Unpublished manuscript

5. Conze , A. Viswanathan 1989 Path dependent options: The case of geometric averages Finance

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2. Pricing Path-Dependent Options under Stochastic Volatility via Mellin Transform;Journal of Risk and Financial Management;2023-10-20

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

4. Valuation of barrier and lookback options under hybrid CEV and stochastic volatility;Mathematics and Computers in Simulation;2023-06

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