Browsing 01 Mathematical Sciences by Author "Peskir G"

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Browsing 01 Mathematical Sciences by Author "Peskir G"

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  • Glover Kristoffer; Peskir G; Samee F (Taylor and Francis, 2011)
    Following the economic rationale of the British put and call option, we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of ...