Pricing of American path-dependent contingent claims

Mathematical Finance

Volumn 6, Issue 1, 1996, Pages 17-51

  Barraquand, Jérôme ^a   Pudet, Thierry ^b  

^a Salomon Brothers International Ltd   (United Kingdom)

^b Long Term Capital Management   (United Kingdom)

Author keywords

American securities; Asian options; Lookback options; Path dependent contingent claims

Indexed keywords

EID: 0030543384     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00111.x     Document Type: Article

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