About: Pricing of discretely sampled lookback options in presence of kurtosis and skewness

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The aim of the paper is to examine the effect of non-Gaussian characteristic of underlying asset distribution on the price of the lookback options. At first, we look more closely at the convergence of numerical methods. As a numeraire we take a BS value.Secondly, we apply two different characteristics of underlying asset distribution, typical for stock exchange markets and foreign exchange markets. Results are given by application of Monte Carlo simulation and simulation via tree as in Rubinstein (1998 ) The aim of the paper is to examine the effect of non-Gaussian characteristic of underlying asset distribution on the price of the lookback options. At first, we look more closely at the convergence of numerical methods. As a numeraire we take a BS value.Secondly, we apply two different characteristics of underlying asset distribution, typical for stock exchange markets and foreign exchange markets. Results are given by application of Monte Carlo simulation and simulation via tree as in Rubinstein (1998 ) (en)
Title	Pricing of discretely sampled lookback options in presence of kurtosis and skewness Pricing of discretely sampled lookback options in presence of kurtosis and skewness (en)
skos:prefLabel	Pricing of discretely sampled lookback options in presence of kurtosis and skewness Pricing of discretely sampled lookback options in presence of kurtosis and skewness (en)
skos:notation	RIV/61989100:27510/03:00007690!RIV/2004/MSM/275104/N
http://linked.open.../vavai/riv/strany	1-14
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat	2004
http://linked.open...aciTvurceVysledku	Lichnovský, Petr Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	622893
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/03:00007690
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Vanilla option, path-dependent option, lookback call option, discrete path, numerical method, Monte Carlo simulation, Lattice model, Rubinstein Edgeworth tree, skewness, kurtosis, non-Gaussian distribution (en)
http://linked.open.../riv/klicoveSlovo	skewness numerical method Vanilla option path-dependent option Lattice model - Elasto-brittle elements - Non-proportional load-path - Stiffness recovery - Aggregate interlocking kurtosis Monte Carlo simulation non-Gaussian distribution Rubinstein Edgeworth tree discrete path lookback call option
http://linked.open...ontrolniKodProRIV	[6451E2637E0A]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Future of the Banking after the Year 2000 in the World and in the Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...ocetUcastnikuAkce	0 (xsd:int)
http://linked.open...nichUcastnikuAkce	0 (xsd:int)
http://linked.open...UplatneniVysledku	2003
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Lichnovský, Petr
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2003-10-15 (xsd:date)
http://linked.open...n/vavai/riv/zamer	http://linked.opendata.cz/resource/domain/vavai/zamer/MSM%20275100015
number of pages	14 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	80-7248-215-7
http://localhost/t...ganizacniJednotka	27510

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