Unifying exotic option closed formulas

DOI10.1007/S11147-011-9071-8zbMath1256.91056OpenAlexW2052199873WikidataQ58389619 ScholiaQ58389619MaRDI QIDQ1937834

Uwe Wystup, Manuel L. Esquível, Carlos Veiga

Publication date: 1 February 2013

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

Full work available at URL: http://hdl.handle.net/10419/40174

zbMATH Keywords

exotic optionsC02closedformuladiscrete lookbackmountain rangemulti-asset multi-currency modelpayoff language

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• QSIMVN

Cites Work

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• Pricing and hedging power options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic calculus for finance. II: Continuous-time models.
• Real Analysis and Probability
• Financial Derivatives in Theory and Practice
• Changes of numéraire, changes of probability measure and option pricing
• Arbitrage Theory in Continuous Time
• Closed Formula for Options with Discrete Dividends and Its Derivatives

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