Pricing discrete lookback options under a jump diffusion model
碩士 === 臺灣大學 === 財務金融學研究所 === 95 === A lookback option introduced in 1979 by Goldman et al. is a path dependent option settles based upon the maximum or minimum of the underlying price process achieved during the entire life of the option. Most models for pricing lookback options assume continuous mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29680216080511849240 |