메뉴 건너뛰기




Volumn 16, Issue 2, 1997, Pages 173-187

Currency lookback options and observation frequency: A binomial approach

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031115749     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(96)00052-6     Document Type: Article
Times cited : (40)

References (9)
  • 2
    • 85015692260 scopus 로고
    • The pricing of options on corporate liabilities
    • Black, F. and Scholes, M. (1973) The pricing of options on corporate liabilities. Journal of Political Economy, 81, 637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 4
    • 84977394802 scopus 로고
    • Path dependent options: Buy at the low, sell at the high
    • Goldman, M. B., Sossin, H. B. and Gatto, M. A. (1979) Path dependent options: buy at the low, sell at the high. Journal of Finance, 34, 1111-1127.
    • (1979) Journal of Finance , vol.34 , pp. 1111-1127
    • Goldman, M.B.1    Sossin, H.B.2    Gatto, M.A.3
  • 5
    • 84977721292 scopus 로고
    • Path dependent options, the case of lookback options
    • Conze, A. and Viswanathan (1991) Path dependent options, the case of lookback options. Journal of Finance, 46, 1893-1907.
    • (1991) Journal of Finance , vol.46 , pp. 1893-1907
    • Conze, A.1    Viswanathan2
  • 6
    • 33847554918 scopus 로고
    • The valuation of options for alternative stochastic processes
    • Cox, J. C. and Ross, S. A. (1976) The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
    • (1976) Journal of Financial Economics , vol.3 , pp. 145-166
    • Cox, J.C.1    Ross, S.A.2
  • 8
    • 0001900607 scopus 로고
    • Efficient procedures for valuing European and American path-dependent options
    • Hull, J. and White, A. (1993) Efficient procedures for valuing European and American path-dependent options. Journal of Derivatives, 1(1), 21-31.
    • (1993) Journal of Derivatives , vol.1 , Issue.1 , pp. 21-31
    • Hull, J.1    White, A.2
  • 9
    • 0010854352 scopus 로고
    • Pricing lookback options using binomial trees: An evaluation
    • Kat, H. M. (1995) Pricing lookback options using binomial trees: an evaluation. Journal of Financial Engineering, 4, 375-397.
    • (1995) Journal of Financial Engineering , vol.4 , pp. 375-397
    • Kat, H.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.