Binomial valuation of lookback options
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References listed on IDEAS
- Cox, John C & Ross, Stephen A, 1976. "A Survey of Some New Results in Financial Option Pricing Theory," Journal of Finance, American Finance Association, vol. 31(2), pages 383-402, May.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Nigel Cutland & Ekkehard Kopp & Walter Willinger, 1991. "A Nonstandard Approach to Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 1-38.
- Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Karl Grosse-Erdmann & Fabien Heuwelyckx, 2015. "The pricing of lookback options and binomial approximation," Papers 1502.02819, arXiv.org.
- Jérôme Lelong & Antonino Zanette, 2010. "Tree methods," Post-Print hal-00776713, HAL.
- Jarno Talponen & Minna Turunen, 2017. "Lean derivation of the CRR pricing formula," Papers 1705.00212, arXiv.org, revised May 2017.
- Fabien Heuwelyckx, 2013. "Convergence of European Lookback Options with Floating Strike in the Binomial Model," Papers 1302.2312, arXiv.org, revised Oct 2013.
- Liming Feng & Vadim Linetsky, 2009. "Computing exponential moments of the discrete maximum of a Lévy process and lookback options," Finance and Stochastics, Springer, vol. 13(4), pages 501-529, September.
- Karl Grosse-Erdmann & Fabien Heuwelyckx, 2016. "The pricing of lookback options and binomial approximation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 33-67, April.
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