Search Results - subject:"Lookback Options"

First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo

Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27

, introduced by Babsiri and Noel in 1998. Path dependent options, such as first and second-generation barrier and lookback options …

Persistent link: https://www.econbiz.de/10015371430

Variance Gamma model in hedging vanilla and exotic options

Bollin, Bartłomiej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322240

Recent Advances in Numerical Methods for Pricing Derivative Securities

Broadie, Mark; Detemple, Jérôme B. - Centre Interuniversitaire de Recherche en Analyse des … - 1996

American options on a single underlying asset, barrier and lookback options and options on multiple assets are reviewed … rétroactives (lookback options), ainsi qu'aux options sur actifs multiples, sont passées en revue. Des critères de comparaison des …

Persistent link: https://www.econbiz.de/10005100731