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: | Kau James B., Keenan Donald C., Muller Walter J., Hilliard Jimmy E. |
Keywords: | investment |
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.