Connecting discrete and continuous path-dependent options
نویسندگان
چکیده
منابع مشابه
Connecting discrete and continuous path-dependent options
This paper develops methods for relating the prices of discreteand continuous-time versions of path-dependent options sensitive to extremal values of the underlying asset, including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be interpreted as shifting a barrier, a strike, or an extremal price. These correction terms enable us to use cl...
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In this paper comparison results of convex type are established for several path-dependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the path-dependent options is based on ordering properties of the local characteristics of the underlying processes as well as on sui...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 1999
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s007800050052