Pricing Moving-Average-Lookback Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 90 === This thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometric- and arithmetic-moving-average-lookback options. The latter security was first issued by Polaris Securities in 1999. Our methodology can...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21107546771208443477 |