Pricing a class of American and European path dependent securities

Pricing a class of American and European path dependent securities

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Article ID: iaor1997152
Country: United States
Volume: 41
Issue: 12
Start Page Number: 1892
End Page Number: 1899
Publication Date: Dec 1995
Journal: Management Science
Authors: , , ,
Keywords: investment
Abstract:

Path dependent securities depend on current and past values of underlying state variables. Consequently, the usual backward evaluation technique is difficult to apply since state variable values existing earlier in real time are unknown. This paper develops a series of propositions which makes possible the pricing of a certain class of both American and European versions of these path dependent securities.

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