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Chapter 8 Discrete Barrier and Lookback Options · Study

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ChapterChapter 8 Discrete Barrier and Lookback Options

Steven G. Kou2007

Chapter2007

Chapter 8 Discrete Barrier and Lookback Options

32 citations·0/0 files stored·Handbooks in operations research and management science

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 2003Monte Carlo Methods in Financial Engineering 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1999Option valuation using the fast Fourier transform

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2007Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineeringchapter · 13 shared references 2004Numerical pricing of discrete barrier and lookback options via Laplace transformsarticle · 13 shared references 2009Computing exponential moments of the discrete maximum of a Lévy process and lookback optionsarticle · 13 shared references 2006Analysis of quadrature methods for pricing discrete barrier optionsarticle · 12 shared references 1999Connecting discrete and continuous path-dependent optionsarticle · 10 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references

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Year2007

Typechapter

Published2007-01-01

VenueHandbooks in operations research and management science

ISSN-L0927-0507

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0927-0507(07)15008-8

openalex_workW1508950690

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