Efficient Procedure for Valuing American Lookback Put Options
Lookback option is a well-known path-dependent option where its payoff depends on the historical extremum prices. The thesis focuses on the binomial pricing of the American floating strike lookback put options with payoff at time $t$ (if exercise) characterized by \[ \max_{k=0, \ldots, t} S_k...
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| Language: | en |
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2007
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| Online Access: | http://hdl.handle.net/10012/3075 |