Valuation of Discrete Lookback-Style Maximum or Minimum Option of Multiple Assets
碩士 === 國立臺灣大學 === 國際企業學研究所 === 93 === There are two contributions in this article. The first is to offer a general version of martingale pricing method to value the class of options whose payoffs depend on historical prices of multiple assets. The second is to derive a Black-Scholes-type closed form...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94049546504358067792 |