Convergence of European Lookback Options with Floating Strike in the Binomial Model
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References listed on IDEAS
- Cheuk, Terry H. F. & Vorst, Ton C. F., 1997. "Currency lookback options and observation frequency: A binomial approach," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 173-187, April.
- 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.
- Lo-Bin Chang & Ken Palmer, 2007. "Smooth convergence in the binomial model," Finance and Stochastics, Springer, vol. 11(1), pages 91-105, January.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Babbs, Simon, 2000. "Binomial valuation of lookback options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1499-1525, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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