메뉴 건너뛰기




Volumn 11, Issue 2, 2003, Pages 53-64

Lookback option valuation: A simplified approach

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85021721871     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319216     Document Type: Article
Times cited : (3)

References (17)
  • 1
    • 0001815473 scopus 로고
    • Pricing foreign currency options under stochastic interest rates
    • Amin, K. I., and R. A. Jarrow. "Pricing Foreign Currency Options under Stochastic Interest Rates." Journal of International Money and Finance, 10(1991), pp. 310-330.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 310-330
    • Amin, K.I.1    Jarrow, R.A.2
  • 2
    • 0002449808 scopus 로고    scopus 로고
    • Connecting discrete and continuous path-dependent options
    • Broadie, Mark, Paul Glasserman and S. G. Kou. "Connecting Discrete and Continuous Path-Dependent Options." Finance and Stochastics, 3(1999), pp. 55-82.
    • (1999) Finance and Stochastics , vol.3 , pp. 55-82
    • Broadie, M.1    Glasserman, P.2    Kou, S.G.3
  • 4
    • 0031115749 scopus 로고    scopus 로고
    • Currency lookback options and observation frequency: A binomial approach
    • Cheuk, Terry H., and Ton C. F. Vorst. "Currency Lookback Options and Observation Frequency: A Binomial Approach." Journal of International Money and Finance, 16(1997), pp. 173-187.
    • (1997) Journal of International Money and Finance , vol.16 , pp. 173-187
    • Cheuk, T.H.1    Vorst, T.C.F.2
  • 5
    • 8344243423 scopus 로고    scopus 로고
    • A numerical approach to American currency option valuation
    • Choi, S., and M. Marcozzi. "A Numerical Approach to American Currency Option Valuation. " The Journal of Derivatives, 9(2001), pp. 19-29.
    • (2001) The Journal of Derivatives , vol.9 , pp. 19-29
    • Choi, S.1    Marcozzi, M.2
  • 6
    • 84977721292 scopus 로고
    • Path dependent options: The case of lookback options
    • Conze, A., and R. Viswanathan. "Path Dependent Options: The Case of Lookback Options." Journal of Finance, 46(1991), pp. 1893-1907.
    • (1991) Journal of Finance , vol.46 , pp. 1893-1907
    • Conze, A.1    Viswanathan, R.2
  • 8
    • 0039422597 scopus 로고
    • Recollection in tranquility
    • Garman, M. "Recollection in Tranquility." Risk, 2(1989), pp. 16-18.
    • (1989) Risk , vol.2 , pp. 16-18
    • Garman, M.1
  • 9
    • 84977394802 scopus 로고
    • Path dependent options: Buy at the low, sell at the high
    • Goldman, B. M., H. B. Sosin, and M. A. Gatto. "Path Dependent Options: Buy at the Low, Sell at the High." Journal of Finance, 34(1979), pp. 1111-1127.
    • (1979) Journal of Finance , vol.34 , pp. 1111-1127
    • Goldman, B.M.1    Sosin, H.B.2    Gatto, M.A.3
  • 10
    • 0001018295 scopus 로고
    • Multiquadratic equations of topography and other irregular surfaces
    • Hardy, R. L. "Multiquadratic Equations of Topography and Other Irregular Surfaces." Journal of Geophysical Research, 176(1971), pp. 1905-1915.
    • (1971) Journal of Geophysical Research , vol.176 , pp. 1905-1915
    • Hardy, R.L.1
  • 11
    • 84963456752 scopus 로고
    • Lookback options with discrete and partial monitoring of the underlying price
    • Heynen, R. C., and H. M. Kat. "Lookback Options with Discrete and Partial Monitoring of the Underlying Price." Applied Mathematical Finance, 2(1995), pp. 273-284.
    • (1995) Applied Mathematical Finance , vol.2 , pp. 273-284
    • Heynen, R.C.1    Kat, H.M.2
  • 12
    • 0001900607 scopus 로고
    • Efficient procedures for valuing european and American path-dependent options
    • Hull, J., and A. White. "Efficient Procedures for Valuing European and American Path-Dependent Options." The Journal of Derivatives, 1(1993), pp. 21-31.
    • (1993) The Journal of Derivatives , vol.1 , pp. 21-31
    • Hull, J.1    White, A.2
  • 13
    • 0001764927 scopus 로고    scopus 로고
    • On the use of boundary conditions for variational formulations arising in financial mathematics
    • Marcozzi, M., S. Choi, and C. S. Chen. "On the Use of Boundary Conditions for Variational Formulations Arising in Financial Mathematics." Applied Mathematics and Computation, 124(2001), pp. 197-214.
    • (2001) Applied Mathematics and Computation , vol.124 , pp. 197-214
    • Marcozzi, M.1    Choi, S.2    Chen, C.S.3
  • 15
  • 16
    • 0000667862 scopus 로고
    • Options on the minimum or maximum of two assets
    • Stulz, R. "Options on the Minimum or Maximum of Two Assets." Journal of Financial Economics, 10(1982), pp. 161-185.
    • (1982) Journal of Financial Economics , vol.10 , pp. 161-185
    • Stulz, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.