The Amnesiac Lookback Option: Selectively Monitored Lookback Options and Cryptocurrencies
This study proposes a strategy to make the lookback option cheaper and more practical, and suggests the use of its properties to reduce risk exposure in cryptocurrency markets through blockchain enforced smart contracts and correct for informational inefficiencies surrounding prices and volatility....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2018-05-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2018.00010/full |