Exercise Regions And Efficient Valuation Of American Lookback Options
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Publication:4827313
DOI10.1111/j.0960-1627.2004.00191.xzbMath1090.91043OpenAlexW3125233838MaRDI QIDQ4827313
Publication date: 16 November 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00191.x
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Cites Work
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- Connecting discrete and continuous path-dependent options
- Monte Carlo methods for security pricing
- Binomial valuation of lookback options
- The valuation of American barrier options using the decomposition technique
- Analytical Valuation of American-Style Asian Options
- Random walk duality and the valuation of discrete lookback options
- Corrected random walk approximations to free boundary problems in optimal stopping
- Option pricing: A simplified approach
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