On pricing lookback options under the CEV process

DOI10.1007/S10203-006-0063-3zbMath1160.91351OpenAlexW2043092339MaRDI QIDQ882493

Massimo Costabile

Publication date: 24 May 2007

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-006-0063-3

Mathematics Subject Classification ID

Related Items (2)

Pricing exotic derivatives exploiting structure ⋮ Classes of elementary function solutions to the CEV model I

Cites Work

• Lookback options and diffusion hitting times: a spectral expansion approach
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Option pricing: A simplified approach

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