After the original version of this paper, the author became aware that Reiner (1991a, b) had also suggested that working in units of the underlying security price could reduce the problem of valuing lookback options to one involving a single stochastic variable, which might then be approximated by a
Robust hedging of the lookback option
β Scribed by David G. Hobson
- Publisher
- Springer-Verlag
- Year
- 1998
- Tongue
- English
- Weight
- 172 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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