Lookback Option Valuation: A Binomial Approach
碩士 === 國立臺灣大學 === 數學研究所 === 94 === Working in the framework of Cox, Ross and Rubinstein (1979), Cheuk and Vorst (1997) derive one-state variable binomial models for lookback options using a change of numeraire. Due to its efficiency, their method has been the most attractive binomial approach to pri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82233026157300033093 |