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- W2474176224 abstract "Lookback options, in the terminology of nance, are a type of exotic option with path dependency whose the payoff depends on the optimal (maximum or minimum) underlying asset`s price occurring over the life of the option. In this paper, we exploit Mellin transform techniques to find a closed-form solution for European lookback options in Black-Scholes model." @default.
- W2474176224 created "2016-07-22" @default.
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- W2474176224 date "2016-05-31" @default.
- W2474176224 modified "2023-10-13" @default.
- W2474176224 title "A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH" @default.
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- W2474176224 doi "https://doi.org/10.7858/eamj.2016.022" @default.
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