A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
type: Item
instance of: scholarly article
title: A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
zbMATH Open document ID: 1220.91042
author: Hyun Suk Park
author: Xiao-Song Qian
author: Kwang Ik Kim
published in: Journal of Computational and Applied Mathematics
publication date: 2011-08-02T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 45K05
zbMATH DE Number: 5934914
zbMATH Keywords: binomial tree method
zbMATH Keywords: lookback option
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: viscosity solution
MaRDI profile type: Publication
full work available at URL: j.cam.2011.05.002
OpenAlex ID: W2091020988
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DOI: 10.1016/J.CAM.2011.05.002
description: scientific article; zbMATH DE number 5934914