Pricing Lookback Options with the Dirichlet Lattice Method
碩士 === 國立臺灣大學 === 國際企業學研究所 === 98 === For the valuation of lookback option, this study extend the Dirichlet lattice method suggested by Kuan and Webber (2003a). Kuan and Webber (2003a) describe a Dirichlet lattice method using the conditional hitting time distribution of the underlying asset price....
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10337633384409846425 |