Lookback options and diffusion hitting times: A spectral expansion approach

Finance and Stochastics

Volumn 8, Issue 3, 2004, Pages 373-398

  Linetsky, Vadim ^a  

^a Northwestern University   (United States)

Author keywords

Bessel process; CEV model; Diffusion maximum and minimum; Hitting times; Lookback options; Spectral expansions

Indexed keywords

EID: 21144454920     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-003-0120-5     Document Type: Article

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