Title   name
2007년 KSIAM 봄 학술대회
 
  Title
  Speaker   Kwon, Mi Jeong  
  Date 2007-05-26
  Host
  Place KAIST
  File  의 1 번째 Real Media 동영상입니다. 의 1 번째 강연자료입니다.
 
Abstract : This paper present a binomial tree method(BTM) for pricing European/American lookback optionsin a jump diffusion models.We derive the governing equation for American and Europeanlookback options in a jump-diffusion model using martingale measure. And we show that theBTM converges to the derived governing equation. We use the concept of viscosity solutions toprove the uniform convergence of BTM for American lookback option.