Hedging lookback and partial lookback options using Malliavin calculus
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References listed on IDEAS
- Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-1127, December.
- Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
- P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
- Conze, Antoine & Viswanathan, 1991. " Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
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- Lee, Hangsuck, 2003. "Pricing equity-indexed annuities with path-dependent options," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 677-690, December.
- Yuji Hishida & Kenji Yasutomi, 2009. "Asymptotic behavior of prices of path dependent options," Papers 0911.5579, arXiv.org.
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KeywordsContingent Claims Hedging Lookback Options Malliavin Calculus;
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