The pricing of lookback options and binomial approximation
Karl Grosse-Erdmann, Fabien Heuwelyckx
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Grosse-Erdmann, Karl-Goswin ; Heuwelyckx, Fabien |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 39.2016, 1, p. 33-67
|
| Subject: | Lookback option | Cheuk-Vorst model | Pricing | Binomial cumulative distribution function | Asymptotic expansion | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | CAPM |
| Extent: | Illustrationen |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-016-0171-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011451641