An Efficient Algorithm to Price Lookback Options With Multinomial-Lattices Model
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 97 === For the valuation of lookback option, this study intends to establish an one-state variable multinomial lattices model to evaluate lookback option based on the notions of changing numeraire in Cheuk and Vorst (1997) and the tree model in Ritchken and Trevor (19...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27885579940173997862 |