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- W1985328029 abstract "In this work, an analytic pricing formula for floating strike lookback options under Heston’s stochastic volatility model is derived by means of the homotopy analysis method. The fixed strike lookback options can then be priced on the basis of the results of floating strike and the put–call parity relation for lookback options." @default.
- W1985328029 created "2016-06-24" @default.
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- W1985328029 date "2013-01-01" @default.
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- W1985328029 title "An analytic pricing formula for lookback options under stochastic volatility" @default.
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- W1985328029 doi "https://doi.org/10.1016/j.aml.2012.07.008" @default.
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