SCOPUS 정보 검색 플랫폼

Volumn 6, Issue 2, 2003, Pages 83-106

Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks

Author keywords

Multi state lookback options; Option pricing; Replication strategy

Indexed keywords

EID: 1842460702 PISSN: 13806645 EISSN: None Source Type: Journal
DOI: 10.1023/A:1027377228682 Document Type: Article

Times cited : (20)

References (12)

1
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- El Babsiri, M.¹ Noel, G.²

2
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- The pricing of option and corporate liabilities
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3
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- NationsBanc Montgomery Securities Working Paper
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- (1997) Hedging Complex Barrier Options
- Carr, P.¹ Chou, A.²

4
- 84979760970
- Static hedging of timing risk
- Carr, P. and J.F. Picron. (1999). "Static Hedging of Timing Risk," Journal of Derivatives Spring issue, 57-70.
- (1999) Journal of Derivatives Spring Issue , pp. 57-70
- Carr, P.¹ Picron, J.F.²

5
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- Path-dependent options: The case of lookback option
- Conze, A. and Viswanthan. (1991). "Path-Dependent Options: The Case of Lookback Option," Journal of Finance 46, 1893-19u07.
- (1991) Journal of Finance , vol.46 , pp. 1893-1907
- Conze, A.¹ Viswanthan²

7
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- Path-dependent options: Buy at the low, sell at the high
- Goldman, M.B., H.B. Sosin, and M.A. Gatto. (1979). "Path-Dependent Options: Buy at the Low, Sell at the High," Journal of Finance 34, 1111-1127.
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- Goldman, M.B.¹ Sosin, H.B.² Gatto, M.A.³

8
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- Martingales and arbitrage in multiperiod securities markets
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- Harrison, J.M.¹ Kreps, D.M.²

9
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- Double lookbacks
- He, H., W.P. Keirstead, and J. Rebholz. (1998). "Double Lookbacks," Mathematical Finance 8, 201-228.
- (1998) Mathematical Finance , vol.8 , pp. 201-228
- He, H.¹ Keirstead, W.P.² Rebholz, J.³

10
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- Lookback options with discrete and partial monitoring of the underlying price
- Heynen, R.C. and H.M. Kat. (1995). "Lookback Options with Discrete and Partial Monitoring of the Underlying Price," Applied Mathematical Finance 2, 273-284.
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- Heynen, R.C.¹ Kat, H.M.²

11
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- Theory of rational option pricing
- Merton, R.C. (1973). "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science 4, 141-183.
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- Merton, R.C.¹

12
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- An analysis of default correlations and multiple defaults
- Zhou, C. (2001). "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies 14, 555-576.
- (2001) Review of Financial Studies , vol.14 , pp. 555-576
- Zhou, C.¹

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