Pricing Lookback and Barrier Options under the CEV Process
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 34 (1999)
Issue (Month): 02 (June)
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- Li, Minqiang, 2010.
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- Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 337-347.
- Windcliff, H. & Vetzal, K. R. & Forsyth, P. A. & Verma, A. & Coleman, T. F., 2003. "An object-oriented framework for valuing shout options on high-performance computer architectures," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1133-1161, April.
- Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany.
- DiCesare, Joe & Mcleish, Don, 2008. "Simulation of jump diffusions and the pricing of options," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 316-326, December.
- Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
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