Valuation of performance-dependent options in a Black-Scholes framework
In: J. Miller, D. Edelman, J. Appleby ed., Numerical Methods for Finance. CRC Press, 2007
Authors
- Thomas Gerstner
- Markus Holtz
- Ralf Korn
BibTeX
@InCollection{ Gerstner.Holtz.EA07valuation,
title = { Valuation of performance-dependent options in a Black-Scholes framework },
author = { Thomas Gerstner and Markus Holtz and Ralf Korn },
editor = { J. Miller, D. Edelman, J. Appleby },
booktitle = { Numerical Methods for Finance },
publisher = { CRC Press },
year = 2007,
}
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