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Search: subject:"Recursive Numerical Integration"
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Random Walk Duality
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Aitsahlia, Farid
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Applied Mathematical Finance
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Random walk duality and the valuation of discrete lookback options
Aitsahlia, Farid
;
Lai, Tzeung Le
- In:
Applied Mathematical Finance
5
(
1998
)
3-4
,
pp. 227-240
-time lookback options. This method leads to a
recursive
numerical
integration
procedure which is fast, accurate and easy to …
Persistent link: https://www.econbiz.de/10005639872
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