Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks

DOI10.1023/A:1027377228682zbMath1059.91049OpenAlexW1585735960MaRDI QIDQ1421714

Yue Kuen Kwok, Hoi Ying Wong

Publication date: 3 February 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1027377228682

zbMATH Keywords

option pricingreplication strategy

Mathematics Subject Classification ID

Related Items (8)

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