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American Fractional Lookback Options: Valuation and Premium Decomposition - MaRDI portal

American Fractional Lookback Options: Valuation and Premium Decomposition (Q3019995)

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scientific article
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English
American Fractional Lookback Options: Valuation and Premium Decomposition
scientific article

    Statements

    title
    American Fractional Lookback Options: Valuation and Premium Decomposition (English)
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    author
    Toshikazu Kimura
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    publication date
    29 July 2011
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    zbMATH Keywords
    American lookback options
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    floating strike
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    fractional lookback
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    Laplace transforms
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    valuation
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    Identifiers

    DOI
    10.1137/090771831
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    zbMATH DE Number
    5934219
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    OpenAlex ID
    W2028356063
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