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Path Dependent Options: The Case of Lookback Options

Опубликовано на портале: 06-10-2004
Journal of Finance. 1991.  Vol. 46. No. 5. P. 1893-1907. 
Lookback options are path dependent contingent claims whose payoffs depend on the extreme of a given security's price over a certain period of time. Using probabilistic tools, we derive explicit formulas for various European lookback options, and provide some results about their American counterparts



Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)

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http://links.jstor.org/sici?sici=0022-1082%28199112%2946%3A5%3C1893%3APDOTCO%3E2.0.CO%3B2-T
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