On the running maximum of Brownian motion and associated lookback options

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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Bibliographic Details
Main Author:	Ho, Tak Yui
Published:	London School of Economics and Political Science (University of London) 2018
Subjects:	HA Statistics
Online Access:	https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.762914

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