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Valuation of exotic options under shortselling constraints

โœ Scribed by Uwe Schmock; Steven E. Shreve; Uwe Wystup

Publisher
Springer-Verlag
Year
2002
Tongue
English
Weight
281 KB
Volume
6
Category
Article
ISSN
0949-2984

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๐Ÿ“œ SIMILAR VOLUMES

A note on the valuation of an exotic tim
A note on the valuation of an exotic timing option
โœ Bellalah, Mondher; Prigent, Jean-Luc ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 128 KB ๐Ÿ‘ 2 views

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