Arbitrage Pricing of Russian Options and Perpetual Lookback Options
نویسندگان
چکیده
منابع مشابه
Pricing Moving-Average-Lookback Options
This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometricand arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our methodology can be easily modi ed to price similarly structured options issued by other securities rms. The moving-average-lookback option is a call optio...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1993
ISSN: 1050-5164
DOI: 10.1214/aoap/1177005356