Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
نویسندگان
چکیده
منابع مشابه
Path-Dependent Option Valuation When the Underlying Path Is Discontinuous
The payo s of path-dependent options depend not only on the nal values, but also on the sample paths of the prices of the underlying assets. A rigorous modeling of the underlying asset price processes which can appropriately describe the sample paths is therefore critical for pricing path-dependent options. This paper allows for discontinuities in the sample paths of the underlying asset prices...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1997
ISSN: 1556-5068
DOI: 10.2139/ssrn.38220