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Original Articles

Pricing Lookback Options with Knock‐out Boundaries

Pages 155-190 | Received 27 Jul 2004, Published online: 02 Feb 2007

References

  • Bermin , H.‐P. 1998 . “ Two extensions to lookback and barrier options: the case of look‐barrier and extreme spread options ” . Chapter 4 of PhD thesis, Department of Economics, Lund University
  • Conze , A. and Viswanathan , R. 1991 . Path dependent options: the case of lookback options . Journal of Finance , 46 : 1893 – 1907 .
  • Goldman , M. B. 1979 . Path dependent options: buy at the low and sell at the high . Journal of Finance , 34 : 1111 – 1128 .
  • Ikeda , M. 2000 . Theory of Option Valuation and Corporate Finance (University of Tokyo Press [in Japanese])
  • Kunitomo , N. and Ikeda , M. 1992 . Pricing options with curved boundaries . Mathematical Finance , 2 : 275 – 295 .
  • Levy , P. 1948 . Processes Stochastique et Movement Brownien , Paris : Gauthier‐Villars .
  • Merton , R. C. 1973 . Theory of rational option pricing . Bell Journal of Ecoconomics and Management Science , 4 : 141 – 183 .

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