The Pricing of Multiple Assets Rainbow Lookback Options with Continuous Dividends
碩士 === 義守大學 === 管理科學研究所 === 91 === This study extended the results of lookback options to the pricing of options on the minimum or the maximum of multiple assets under assumptions of B-S pricing models. We derived the closed-form formulas of multiple assets rainbow standard lookback and extrema opti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24896155136926331410 |