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Search: subject:"Lookback Options"
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Option pricing theory
13
Optionspreistheorie
13
Option trading
12
Optionsgeschäft
12
Stochastic process
11
Stochastischer Prozess
11
lookback options
11
Lookback options
9
Barrier options
6
Lévy processes
6
Black-Scholes model
5
Black-Scholes-Modell
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Exotic options
4
Fourier transform
4
Lookback Options
4
Volatility
4
Volatilität
4
barrier options
4
option pricing
4
Barrier Options
3
Derivat
3
Derivative
3
Laplace transform
3
Asian options
2
Continuity correction
2
Hedging
2
Heston model
2
Jump diffusion models
2
Laplace inversion
2
Monte Carlo
2
Monte-Carlo simulation
2
Pricing lookback options
2
Simulation
2
conformal deformations
2
credit default swaps
2
discrete monitoring
2
joint distribution of a Lévy process and its extrema
2
spectrally negative tempered stable process
2
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Linetsky, Vadim
3
Broadie, Mark
2
Levendorskij, Sergej Z.
2
Aitsahlia, Farid
1
Arai, Takuji
1
Auster, Johan
1
Bermin, Hans-Peter
1
Bernard, Carole
1
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1
Bollin, Bartłomiej
1
Buchen, Peter
1
COQUERET, GUILLAUME
1
Cai, Ning
1
Coqueret, Guillaume
1
Davydov, Dmitry
1
De Gennaro Aquino, Luca
1
Detemple, Jérôme B.
1
Feng, Liming
1
Fuh, Cheng-Der
1
Fuh, Cheng-der
1
Giles, Michael B.
1
Giribone, Pier Giuseppe
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Henderson, Vicky
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Kat, H. M.
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LEVENDORSKIĬ, SERGEI
1
Lai, Tzeung Le
1
Lee, Hangsuck
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Lee, Minha
1
Leland, Hayne
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Li, Leong Kwan
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Applied Mathematical Finance
4
Finance and Stochastics
3
International journal of theoretical and applied finance
3
Management Science
3
Finance and stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Applied mathematical finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
1
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International review of financial analysis
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RePEc
16
ECONIS (ZBW)
14
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1
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
Saved in:
2
Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Finance and stochastics
29
(
2025
)
2
,
pp. 443-468
Persistent link: https://www.econbiz.de/10015394806
Saved in:
3
Double-barrier
lookback
options
Lee, Hangsuck
;
Lee, Minha
;
Song, Seongjoo
- In:
International review of financial analysis
108
(
2025
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10015639169
Saved in:
4
A general approach for lookback option pricing under Markov models
Zhang, Gongqiu
;
Li, Lingfei
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
Saved in:
5
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
6
Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322240
Saved in:
7
The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky
;
Sun, Jia
;
Whalley, A. Elizabeth
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
Saved in:
8
Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca
;
Bernard, Carole
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
Saved in:
9
Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.
;
Xia, Yuan
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
Saved in:
10
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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