Double Lookbacks

• 1 July 1998
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 8  (3) , 201-228
• https://doi.org/10.1111/1467-9965.00053

Abstract

Keywords

• EXTREME VALUES
• CORRELATED BROWNIAN MOTIONS
• JOINT DENSITY FUNCTIONS
• DOUBLE LOOKBACKS
• SEMILOOKBACKS