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Description
  • Distribution characteristics of many types of options underlying assets returns contradict the assumption of normality. In this paper we look more closely how to price special type of path dependent options - the lookback call - in presence of non-Gaussian behaviour. In particular we study the effect of skewness and kurtosis. In order to price the option we apply numerical method, that is, we simulate the underlying asset price evolution in the way that allows us to obtain non-Gaussian distribution of returns.
  • Distribution characteristics of many types of options underlying assets returns contradict the assumption of normality. In this paper we look more closely how to price special type of path dependent options - the lookback call - in presence of non-Gaussian behaviour. In particular we study the effect of skewness and kurtosis. In order to price the option we apply numerical method, that is, we simulate the underlying asset price evolution in the way that allows us to obtain non-Gaussian distribution of returns. (en)
Title
  • Lookback options: how to price with skewness and kurtosis
  • Lookback options: how to price with skewness and kurtosis (en)
skos:prefLabel
  • Lookback options: how to price with skewness and kurtosis
  • Lookback options: how to price with skewness and kurtosis (en)
skos:notation
  • RIV/61989100:27510/03:00007689!RIV/2004/MSM/275104/N
http://linked.open.../vavai/riv/strany
  • 1-8
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 613890
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/03:00007689
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Skewness, kurtosis, non-Gaussian distribution, path-dependent options, lookback call, numerical method, Rubinstein edgeworth tree (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [74244B96BF67]
http://linked.open...v/mistoKonaniAkce
  • Brno
http://linked.open...i/riv/mistoVydani
  • Brno
http://linked.open...i/riv/nazevZdroje
  • Mendelnet 03
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...ocetUcastnikuAkce
http://linked.open...nichUcastnikuAkce
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
  • Lichnovský, Petr
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Mendelova zemědělská a lesnická univerzita v Brně
https://schema.org/isbn
  • 80-7157-719-7
http://localhost/t...ganizacniJednotka
  • 27510
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