The valuation of discretely sampled European lookback options: a DG approach
Date
2017
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Univerzita Hradec Králové
Abstract
Description
Subject(s)
Option pricing, discontinuous Galerkin method, Black-Scholes model, path-dependent variable, lookback options, discrete sampling, jump conditions
Citation
Item identifier
ISSN
ISBN
978-80-7435-678-0