Chapter 12 LOOKBACK OPTIONS


Chapter 12 LOOKBACK OPTIONS


Chapter 12. LOOKBACK OPTIONSPeter G. ZhangAdditional contact informationPeter G. If you experience problems downloading a file, check if you have theproper application toview it first. In case of further problems readthe IDEAS helppage. Note that these files are not on the IDEASsite. Please be patient as the files may be large.File URL: are using an outdated browserYour browser, OPTOINS old version of Internet Explorer, is not fully supported by Quizlet.Please download a newer web browser to improve your experience.Google ChromeMozilla Firefox.

Under the Black-Scholes framework, the pricing of these options can be reduced to evaluation of a series of convolutions of the Gaussian distribution and a known function. We compute these convolutions efficiently using the double-exponential integration formula and the fast Gauss transform.




Chapter 12 LOOKBACK OPTIONS

Chapter 12 LOOKBACK OPTIONS

Chapter 12 LOOKBACK OPTIONS