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Connecting discrete and continuous path-dependent options |
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| Authors: | Mark Broadie Paul Glasserman S.G. Kou |
| Affiliation: | (1) Graduate School of Business, Columbia University, New York, NY 10027, USA , US;(2) Department of Statistics, University of Michigan, Ann Arbor, MI 48109–1027, USA (e-mail: kou@umich.edu) , US;(3) Department of IEOR, Columbia University, New York, NY 10027, USA , US |
| Abstract: | |
| Keywords: | : Barrier options lookback options continuity corrections trinomial trees JEL classification: G13 C63 G12 Mathematics Subject Classification (1991): 90A09 60J15 65N06 |
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