The pricing of lookback options and binomial approximation
type: Item
instance of: scholarly article
title: The pricing of lookback options and binomial approximation
zbMATH Open document ID: 1398.91596
author: Karl-Goswin Grosse-Erdmann
author: Fabien Heuwelyckx
published in: Decisions in Economics and Finance
publication date: 2016-04-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/1502.02819
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 41A60
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 6571070
zbMATH Keywords: lookback option
zbMATH Keywords: Cheuk-Vorst model
zbMATH Keywords: pricing
zbMATH Keywords: binomial cumulative distribution function
zbMATH Keywords: asymptotic expansion
MaRDI profile type: Publication
OpenAlex ID: W1616795048
arXiv ID: 1502.02819
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DOI: 10.1007/S10203-016-0171-7
description: scientific article