Currency lookback options and observation frequency: A binomial approach

Journal of International Money and Finance

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

  Cheuk, Terry H F ^a   Vorst, Ton C F ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

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

References (9)

1. Babbs, S. (1992) Binomial valuation of lookback options. Working Paper, Midland Global Markets.
2. Black, F. and Scholes, M. (1973) The pricing of options on corporate liabilities. Journal of Political Economy, 81, 637-654.
3. Cheuk, T. H. F. and Vorst, T. C. F. (1996) Complex barrier options. Journal of Derivatives, 4(1), 8-22.
4. 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.
5. Conze, A. and Viswanathan (1991) Path dependent options, the case of lookback options. Journal of Finance, 46, 1893-1907.
6. Cox, J. C. and Ross, S. A. (1976) The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
7. Cox, J. C., Ross, S. A. and Rubinstein, M. (1979) Option pricing: a simplified approach. Journal of Financial Economics, 7, 229-263.
8. Hull, J. and White, A. (1993) Efficient procedures for valuing European and American path-dependent options. Journal of Derivatives, 1(1), 21-31.
9. Kat, H. M. (1995) Pricing lookback options using binomial trees: an evaluation. Journal of Financial Engineering, 4, 375-397.