References
- AitSahlia , F. and Lai , T. L. 1997 . Valuation of discrete barrier and hindsight options . Journal of Financial Engineering , 6 : 169 – 177 .
- Armitage , P. , McPherson , C. K. and Rowe , B. C. 1969 . Repeated significance tests on accumulated data . Journal of the Royal Statistical Society, Ser A , 132 : 235 – 244 .
- Babbs , S. 1992 . Binomial valuation of lookback options , London : Midland Global Markets . Working paper
- Breen , R. 1991 . The accelerated binomial pricing model . Journal of Financial & Quantitative Analysis , 26 : 153 – 164 .
- Broadie , M. , Glasserman , P. and Kou , S. 1998 . Connecting discrete and continuous path-dependent options . Finance and Stochastics , in press
- Cheuk , T. and Vorst , T. 1997 . Currency lookback options and the observation frequency: a binomial approach . Journal of International Money & Finance , 16 : 173 – 187 .
- Conze , A. and Viswanathan , R. 1991 . Path dependent options: the case of lookback options . Journal of Finance , 46 : 1893 – 1907 .
- Feller , W. 1971 . An Introduction to Probability Theory and Its Applications , 2nd edn , Vol. II , New York : Wiley .
- Goldman , M. B. , Sosin , H. and Gatto , M. 1979a . Path dependent options: ‘Buy at the low, sell at the high . Journal of Finance , 34 : 1111 – 1127 .
- Goldman , M. B. 1979b . Sosin, H, and Shepp, L . , On contingent claims that insure ex-post optimal stock market timing, Journal of Finance , 34 : 401 – 414 .
- Heynen , R. C. and Kat , H. M. 1995 . Lookback options with discrete and partial monitoring of the underlying price . Applied Mathematical Finance , 2 : 273 – 284 .
- Hull , J. and White , A. 1993 . Efficient procedures for valuing European and American path-dependent options . Journal of Derivatives , 1 : 21 – 31 .
- Kat , H. M. 1995 . Pricing lookback options using binomial trees: an evaluation . Journal of Financial Engineering , 4 : 375 – 397 .
- Sawyer , S. 1968 . Uniform limit theorems for the maximum cumulative sum in probability . Transactions of the American Mathematics Society , 132 : 363 – 367 .
- Siegmund , D. 1985 . Sequential Analysis: Tests and Confidence Intervals , New York : Springer-Verlag .