Nonergodicity of reset geometric Brownian motion
Author:
Funder
Fundacja na rzecz Nauki Polskiej
Deutsche Forschungsgemeinschaft
Publisher
American Physical Society (APS)
Link
http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevE.105.L012106/fulltext
Reference29 articles.
1. Path Dependent Options: "Buy at the Low, Sell at the High"
2. Path Dependent Options: The Case of Lookback Options
3. Valuing S&P 500 Bear Market Warrants With a Periodic Reset
4. Double Lookbacks
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