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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2007.5
- 수록면
- 27 - 31 (5page)
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This paper present a binomial tree method(BTM) for pricing European/American lookback options in a jump diffusion models. We derive the governing equation for American and European lookback options in a jump-diffusion model using martingale measure. And we show that the BTM converges to the derived governing equation. We use the concept of viscosity solutions to prove the uniform convergence of BTM for American lookback option.
목차
ABSTRACT
INTRODUCTION
GOVERNING EQUATIONS AND BTM FOR LOOKBACK OPTION
CONVERGENCE OF BTM
REFERENCES
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UCI(KEPA) : I410-ECN-0101-2009-410-014679631