Pricing discrete percentage look-back option via integral transforms of measure
Автор: Stromilo A.A.
Журнал: Математическая физика и компьютерное моделирование @mpcm-jvolsu
Рубрика: Прикладная математика
Статья в выпуске: 12, 2009 года.
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This paper considers a generalized (percentage) case of the well-known Look-back option and the method of pricing such an option via integral transformations. As article shows, the method suggested could be used for a wide class of stochastic processes describing a movement of the underlying log-returns with known characteristic functions of the process itself, its positive and negative parts.
Короткий адрес: https://sciup.org/14968633
IDR: 14968633
Список литературы Pricing discrete percentage look-back option via integral transforms of measure
- Ohgren, A. A Remark on the pricing of discrete lookback options/A. Ohgren//Journal of Computational Finance. -2001. -V. 4. -P. 141-147.
- Petrella, G. Numerical pricing of discrete barrier and lookback options via Laplace transform/G. Petrella, S. Kou//Journal of Computational Finance. -2004. -V. 8. -P. 1-38.
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