Pricing Lookback Options with Knock‐out Boundaries

DOI10.1080/13504860600563028zbMath1142.91551OpenAlexW2051233225MaRDI QIDQ3424332

Yoshifumi Muroi

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600563028

zbMATH Keywords

exotic optionslookback optionsknock-out boundaries

Mathematics Subject Classification ID

Related Items (3)

Pricing of proactive hedging European option with dynamic discrete position strategy ⋮ Proactive hedging European option pricing with a general logarithmic position strategy ⋮ Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals

Cites Work

• Pricing Options With Curved Boundaries¹

This page was built for publication: Pricing Lookback Options with Knock‐out Boundaries