Integral price formulas for lookback options
We derive an integral representation of the price formulas for European options whose terminal payoff involves path-dependent lookback variable. The intricacies in the derivation procedures using the partial differential equation techniques stem from the degenerate nature of the pricing models, wher...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2005-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/JAM.2005.117 |
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