On the running maximum of Brownian motion and associated lookback options
The running maximum of Brownian motion appears often in mathematical finance. In derivatives pricing, it is used in modelling derivatives with lookback or barrier hitting features. For path dependent derivatives, valuation and risk management rely on Monte Carlo simulation. However, discretization s...
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London School of Economics and Political Science (University of London)
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.762914 |