Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Bermin, H. P. (1996). “Exotic Lookback Options: The Case of Extreme Spread Options,” Working Paper, Department of Economics, Lund University, Sweden.
Conze, A. and Viswanathan (1991). “Path Dependent Options: The Case of Lookback Options,” Journal of Finance, 46, 1893–1907
Cox, J. C. and M. Rubinstein (1985). “Innovations in Options Markets,” Options Markets, Chapter 8. Prentice-Hall, New Jersey.
Goldman, B. M., H. B. Sosin and M. A. Gatto (1979). “Path Dependent Options: Buy at the Low, Sell at the High,” Journal of Finance, 34( 5), 1111–1127.
Heynen, R. C. and H. M. Kat (1997). “Lookback Options-Pricing and Applications” in Exotic Options: The State-of-the Art 99–123. Eds: Clewlow, L. and Strickland, C. London, International Thompson.
Kirk, E. (1995). “Correlation in the Energy Markets,” Managing Energy Price Risk. London: Risk Publications and Enron, 71–78.
Peng, B. and Y. Han (2004). “A Study on the Binary Option Model and its Pricing,” Proceedings of the Academy of Accounting and Financial Studies (New Orleans 2004) 9(1), 71–78.
Reiner, E. and M. Rubinstein (1991). “Breaking down the Barriers,” Risk Magazine, 4(8).
Rich, D. R. and D. M. Chance (1993). “An Alternative Approach to the Pricing Options on Multiple Assets,” Journal of Financial Engineering, 2(3), 271–285.
Shimko, D. (1994). “Options on Futures Spreads: Hedging, Speculation, and Valuation,” The Journal of Futures Markets, 14(2), 183–213.
Stulz, R. M. (1982). “Options on the Minimum or the Maximum of Two Risky Assets,” Journal of Financial Economics, 10, 161–185.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2007 Springer-Verlag London Limited
About this chapter
Cite this chapter
Barker, P. (2007). Complex Conditional Options. In: Java Methods for Financial Engineering. Springer, London. https://doi.org/10.1007/978-1-84628-741-1_13
Download citation
DOI: https://doi.org/10.1007/978-1-84628-741-1_13
Publisher Name: Springer, London
Print ISBN: 978-1-85233-832-9
Online ISBN: 978-1-84628-741-1
eBook Packages: Computer ScienceComputer Science (R0)