Exotic European options with restrictions on the payoffs
✍ Scribed by U. V. Andreeva; N. S. Demin; A. V. Erlykova; E. A. Pan’shina
- Book ID
- 110153202
- Publisher
- SP MAIK Nauka/Interperiodica
- Year
- 2010
- Tongue
- English
- Weight
- 228 KB
- Volume
- 71
- Category
- Article
- ISSN
- 0005-1179
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This article develops a discrete‐time, risk‐neutral valuation relation (RNVR) for the pricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk aversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is
This note compares the valuation of a "lookback" put option with that of an option which, at payoff, gives its holder the difference between the maximum value recorded during the option's life and an initial value based on underlying asset price at the time of initiation. This latter instrument is c