EXOTIC OPTIONS - SIMILARITIES VIA SELF-SIMILARITIES - Lookback, passport and Asian options present a challenge to dealers seeking to price and hedge them. But they are all different aspects of the same problem, Using a little-known mathematical technique, the author provides a solution.
| Year of publication: |
1999
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|---|---|
| Authors: | Lipton, Alexander |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 12.1999, 9, p. 101-105
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