Eine neue Methode zur Bewertung von Lookback-Optionen


Diplomarbeit Wirtschaftsmathematik, TU Berlin

Master's Thesis in Financial Mathematics, Halmstad University, Sweden


Betreuer

Description

References:

  1. J. Andreasen, The pricing of discretely samples Asian and lookback options: a change of numeraire approach, Journal of Computational Finance 2 (1998), 5-30.
  2. S. Babbs, Binomial Valuation of Lookback Options, Journal of Economic Dynamics & Control 24 (2000), 1499-1525.
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  18. A. Vorst and T. Cheuk, Lookback Options and the Observation frequency: A Binomial Approach, Working Paper, University of Rotterdam, 1994.
  19. H. Yu, Y.K. Kwok and L. Wu, Early Exercise Policies of American Floating Strike and Fixed Strike Lookback Options, Nonlinear Analysis, 2001.
  20. C. Xu and Y.K. Kwok, Integral Price Formulas for Lookback Options, Hong Kong University Working Paper, 2003.
  21. P.G. Zhang, Exotic Options, World Scientific, 2nd edition, Singapure 1998, Chapter 12.

mailbox ehrhardt@math.uni-wuppertal.de