"Valuing American floating strike lookback option and Neumann problem for ..."

Junkee Jeon, Heejae Han, Myungjoo Kang (2017)

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DOI: 10.1016/J.CAM.2016.09.020

access: closed

type: Journal Article

metadata version: 2020-02-20

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Junkee Jeon, Heejae Han, Myungjoo Kang:
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. J. Comput. Appl. Math. 313: 218-234 (2017)

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