FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3099863719> ?p ?o ?g. }

• W3099863719 endingPage "1450025" @default.
• W3099863719 startingPage "1450025" @default.
• W3099863719 abstract "In this paper, we study the convergence of a European lookback option with floating strike evaluated with the binomial model of Cox–Ross–Rubinstein to its evaluation with the Black–Scholes model. We do the same for its delta. We confirm that these convergences are of order [Formula: see text]. For this, we use the binomial model of Cheuk–Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin–Palmer, we are able to give the precise value of the term in [Formula: see text] in the expansion of the error; we also obtain the value of the term in 1/n if the risk free interest rate is nonzero. This modelization will also allow us to determine the first term in the expansion of the delta." @default.
• W3099863719 created "2020-11-23" @default.
• W3099863719 creator A5040329530 @default.
• W3099863719 date "2014-06-01" @default.
• W3099863719 modified "2023-09-23" @default.
• W3099863719 title "CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL" @default.
• W3099863719 cites W1951071511 @default.
• W3099863719 cites W1973363227 @default.
• W3099863719 cites W1992063066 @default.
• W3099863719 cites W2010502525 @default.
• W3099863719 cites W2033926660 @default.
• W3099863719 cites W2035101758 @default.
• W3099863719 cites W2050582772 @default.
• W3099863719 cites W2086551551 @default.
• W3099863719 cites W2099081724 @default.
• W3099863719 cites W2109906816 @default.
• W3099863719 cites W2146612430 @default.
• W3099863719 cites W3121560553 @default.
• W3099863719 cites W3121994681 @default.
• W3099863719 cites W3123668884 @default.
• W3099863719 cites W4213065535 @default.
• W3099863719 doi "https://doi.org/10.1142/s0219024914500253" @default.
• W3099863719 hasPublicationYear "2014" @default.
• W3099863719 type Work @default.
• W3099863719 sameAs 3099863719 @default.
• W3099863719 citedByCount "6" @default.
• W3099863719 countsByYear W30998637192015 @default.
• W3099863719 countsByYear W30998637192016 @default.
• W3099863719 countsByYear W30998637192020 @default.
• W3099863719 countsByYear W30998637192021 @default.
• W3099863719 countsByYear W30998637192023 @default.
• W3099863719 crossrefType "journal-article" @default.
• W3099863719 hasAuthorship W3099863719A5040329530 @default.
• W3099863719 hasBestOaLocation W30998637192 @default.
• W3099863719 hasConcept C10138342 @default.
• W3099863719 hasConcept C105235620 @default.
• W3099863719 hasConcept C105795698 @default.
• W3099863719 hasConcept C121332964 @default.
• W3099863719 hasConcept C144237770 @default.
• W3099863719 hasConcept C149782125 @default.
• W3099863719 hasConcept C162324750 @default.
• W3099863719 hasConcept C163128081 @default.
• W3099863719 hasConcept C182306322 @default.
• W3099863719 hasConcept C18903297 @default.
• W3099863719 hasConcept C194483076 @default.
• W3099863719 hasConcept C2776291640 @default.
• W3099863719 hasConcept C2777303404 @default.
• W3099863719 hasConcept C2777759810 @default.
• W3099863719 hasConcept C2781315470 @default.
• W3099863719 hasConcept C28826006 @default.
• W3099863719 hasConcept C33923547 @default.
• W3099863719 hasConcept C41054675 @default.
• W3099863719 hasConcept C46757340 @default.
• W3099863719 hasConcept C50522688 @default.
• W3099863719 hasConcept C61797465 @default.
• W3099863719 hasConcept C62520636 @default.
• W3099863719 hasConcept C86803240 @default.
• W3099863719 hasConcept C91602232 @default.
• W3099863719 hasConceptScore W3099863719C10138342 @default.
• W3099863719 hasConceptScore W3099863719C105235620 @default.
• W3099863719 hasConceptScore W3099863719C105795698 @default.
• W3099863719 hasConceptScore W3099863719C121332964 @default.
• W3099863719 hasConceptScore W3099863719C144237770 @default.
• W3099863719 hasConceptScore W3099863719C149782125 @default.
• W3099863719 hasConceptScore W3099863719C162324750 @default.
• W3099863719 hasConceptScore W3099863719C163128081 @default.
• W3099863719 hasConceptScore W3099863719C182306322 @default.
• W3099863719 hasConceptScore W3099863719C18903297 @default.
• W3099863719 hasConceptScore W3099863719C194483076 @default.
• W3099863719 hasConceptScore W3099863719C2776291640 @default.
• W3099863719 hasConceptScore W3099863719C2777303404 @default.
• W3099863719 hasConceptScore W3099863719C2777759810 @default.
• W3099863719 hasConceptScore W3099863719C2781315470 @default.
• W3099863719 hasConceptScore W3099863719C28826006 @default.
• W3099863719 hasConceptScore W3099863719C33923547 @default.
• W3099863719 hasConceptScore W3099863719C41054675 @default.
• W3099863719 hasConceptScore W3099863719C46757340 @default.
• W3099863719 hasConceptScore W3099863719C50522688 @default.
• W3099863719 hasConceptScore W3099863719C61797465 @default.
• W3099863719 hasConceptScore W3099863719C62520636 @default.
• W3099863719 hasConceptScore W3099863719C86803240 @default.
• W3099863719 hasConceptScore W3099863719C91602232 @default.
• W3099863719 hasIssue "04" @default.
• W3099863719 hasLocation W30998637191 @default.
• W3099863719 hasLocation W30998637192 @default.
• W3099863719 hasLocation W30998637193 @default.
• W3099863719 hasOpenAccess W3099863719 @default.
• W3099863719 hasPrimaryLocation W30998637191 @default.
• W3099863719 hasRelatedWork W1573928176 @default.
• W3099863719 hasRelatedWork W2165208393 @default.
• W3099863719 hasRelatedWork W2184495202 @default.
• W3099863719 hasRelatedWork W2374983786 @default.
• W3099863719 hasRelatedWork W2380029114 @default.
• W3099863719 hasRelatedWork W257566183 @default.
• W3099863719 hasRelatedWork W3099863719 @default.
• W3099863719 hasRelatedWork W3122179122 @default.
• W3099863719 hasRelatedWork W2397307353 @default.
• W3099863719 hasRelatedWork W2619169734 @default.

• next