A modified binomial tree method for currency lookback options

DOI10.1007/S101140000068zbMath0994.91021OpenAlexW2049215413MaRDI QIDQ1586084

Min Dai

Publication date: 18 February 2001

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s101140000068

zbMATH Keywords

path dependent optionsPDE approachcurrency lookback optionsmodified binomial tree method

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

A general approach for lookback option pricing under Markov models ⋮ A fast numerical method for the valuation of American lookback put options ⋮ American lookback option with fixed strike price-2-D parabolic variational inequality ⋮ One-state variable binomial models for European-/American-style geometric Asian options ⋮ Analytical binomial lookback options with double-exponential jumps

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Option pricing: A simplified approach
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