A general approach for lookback option pricing under Markov models
Gongqiu Zhang and Lingfei Li
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Gongqiu ; Li, Lingfei |
| Subject: | Drawdown | Gauss quadrature | Lookback options | Markov chain approximation | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2230254 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339927