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Integral price formulas for lookback options - MaRDI portal

Integral price formulas for lookback options

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Publication:2494966

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DOI10.1155/JAM.2005.117zbMath1186.91222OpenAlexW2041048925WikidataQ60148459 ScholiaQ60148459MaRDI QIDQ2494966

Yue Kuen Kwok, Cheng-long Xu

Publication date: 30 June 2006

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/45036

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Integral formulas of real functions of several variables (Stokes, Gauss, Green, etc.) (26B20)

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