A general approach for lookback option pricing under Markov models
Year of publication: |
2023
|
---|---|
Authors: | Zhang, Gongqiu ; Li, Lingfei |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 9, p. 1305-1324
|
Subject: | Drawdown | Gauss quadrature | Lookback options | Markov chain approximation |
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