A general approach for lookback option pricing under Markov models (Q6053112)
From MaRDI portal
scientific article; zbMATH DE number 7742087
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general approach for lookback option pricing under Markov models |
scientific article; zbMATH DE number 7742087 |
Statements
A general approach for lookback option pricing under Markov models (English)
0 references
25 September 2023
0 references
lookback options
0 references
drawdown
0 references
Markov chain approximation
0 references
Gauss quadrature
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
