Valuation of Performance-Dependent Options in a Black‚ÄìScholes Framework

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch11 ◽

2007 ◽

pp. 203-214 ◽

Author(s):

Markus Holtz ◽

Ralf Korn ◽

Thomas Gerstner

Download Full-text