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Comparison results for path-dependent options

  • Jan Bergenthum and Ludger Rüschendorf
Published/Copyright: September 25, 2009
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Statistics & Decisions
From the journal Statistics & Decisions Volume 26 Issue 1

Published Online: 2009-09-25
Published in Print: 2008-03

© by Oldenbourg Wissenschaftsverlag, Freiburg, Germany

Articles in the same Issue

  1. Editorial
  2. Goodness of fit testing using a specific density estimate
  3. Uniform and individual convergence rates for convex density classes
  4. A kernel-based classifier on a Riemannian manifold
  5. Comparison results for path-dependent options
https://doi.org/10.1524/stnd.2008.0912
Keywords for this article
path dependent options; lookback option; convex order; Levy process; semimartingale

Articles in the same Issue

  1. Editorial
  2. Goodness of fit testing using a specific density estimate
  3. Uniform and individual convergence rates for convex density classes
  4. A kernel-based classifier on a Riemannian manifold
  5. Comparison results for path-dependent options
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