Double lookbacks

Mathematical Finance

Volumn 8, Issue 3, 1998, Pages 201-228

  He, Hua ^a   Keirstead, William P ^b   Rebholz, Joachim ^c  

^a Convergence Asset Management LLC ^*  (United States)

^b Goldman Sachs Group   (United States)

^c NONE

Author keywords

Correlated Brownian motions; Double lookbacks; Extreme values; Joint density functions; Semilookbacks

Indexed keywords

EID: 0032221458     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00053     Document Type: Article

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