Pricing Lookback Options with Numerical Methods and Simulation Programs
碩士 === 臺灣大學 === 商學研究所 === 98 === This thesis concentrates on the pricing problem of lookback options whose values depend on the extreme price of the underlying asset. We provided a straightforward numerical method which extended from the least-square Monte Carlo simulation (LSM) approach derived by...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/51223670397280906438 |