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Article: Mathematical Analysis of Pricing of Lookback Performance Options

TitleMathematical Analysis of Pricing of Lookback Performance Options
Authors
Chang, DCChang, ECFan, H
Keywords1991 Mathematics Subject Classifications: 91b28
90a12
Brownian Motion
Call Option
Density Function
Error Function
Lookback Performance Options
Put Option
Issue Date2003
PublisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/00036811.html
Citation
Applicable Analysis, 2003, v. 82 n. 10, p. 937-959 How to Cite?
DOI: http://dx.doi.org/10.1080/00036810310001596610
Persistent Identifierhttp://hdl.handle.net/10722/85971
ISSN
0003-6811
2021 Impact Factor: 1.278
2020 SCImago Journal Rankings: 0.576

 

DC FieldValueLanguage
dc.contributor.authorChang, DCen_HK
dc.contributor.authorChang, ECen_HK
dc.contributor.authorFan, Hen_HK
dc.date.accessioned2010-09-06T09:11:20Z-
dc.date.available2010-09-06T09:11:20Z-
dc.date.issued2003en_HK
dc.identifier.citationApplicable Analysis, 2003, v. 82 n. 10, p. 937-959en_HK
dc.identifier.issn0003-6811en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85971-
dc.languageengen_HK
dc.publisherTaylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/00036811.htmlen_HK
dc.relation.ispartofApplicable Analysisen_HK
dc.subject1991 Mathematics Subject Classifications: 91b28-
dc.subject90a12-
dc.subjectBrownian Motion-
dc.subjectCall Option-
dc.subjectDensity Function-
dc.subjectError Function-
dc.subjectLookback Performance Options-
dc.subjectPut Option-
dc.titleMathematical Analysis of Pricing of Lookback Performance Optionsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0003-6811&volume=82 No10&spage=937&epage=959&date=2003&atitle=Mathematical+Analysis+of+Pricing+of+Lookback+Performance+Optionsen_HK
dc.identifier.emailChang, EC: ecchang@business.hku.hken_HK
dc.identifier.authorityChang, EC=rp01050en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/00036810310001596610-
dc.identifier.scopuseid_2-s2.0-85071206387-
dc.identifier.hkuros92009en_HK
dc.identifier.issnl0003-6811-

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