Lookback options and dynamic fund protection under multiscale stochastic volatility

Insurance: Mathematics and Economics

Volumn 40, Issue 3, 2007, Pages 357-385

  Wong, Hoi Ying ^a   Chan, Chun Man ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Dynamic fund protection; Lookback options; Stochastic volatility

Indexed keywords

EID: 33847333108     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.05.006     Document Type: Article

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