1 / 43

Lookback Option

Lookback Option. Part 1 (a) John C. Hull Ch24 lookback option (b) Shreve 7.4.1 ~7.4.3 Part 2 (a) Shreve 7.4.4. 7.4 Lookback Option (part1). 劉亮志. (a) John C. Hull Ch24 lookback option. (b)-1 Shreve 7.4.1~7.4.2. (b)-2 Shreve 7.4.3. Appendix A. The proofs of parity. Appendix B.

field
Télécharger la présentation

Lookback Option

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Lookback Option Part 1 (a) John C. Hull Ch24 lookback option (b) Shreve 7.4.1 ~7.4.3 Part 2 (a) Shreve 7.4.4

  2. 7.4 Lookback Option(part1) 劉亮志

  3. (a) John C. Hull Ch24 lookback option

  4. (b)-1 Shreve 7.4.1~7.4.2

  5. (b)-2 Shreve 7.4.3

  6. Appendix A The proofs of parity

  7. Appendix B The assumptions of Black-Scholes world

  8. Appendix C about

More Related