Binomial valuation of lookback options

By S. H. Babbs. 2000

62 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3321e294694741298ca08537ab9e3c4f8624301e

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In Finance

1. Peter A. Forsyth
2. George Labahn
3. A. Bélanger
4. Kenneth R. Vetzal
5. Alexander Schied
6. Jari Toivanen
7. Samuli Ikonen
8. S. Clift

Citations in the corpus

• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, background): “As the ratchet interval is reduced, the value of a discrete lookback is known to converge very slowly to the corresponding continuous lookback value (Babbs, 2000; Cheuk and Vorst, 1997; Hull, 2003).”