Timeline for How to price a path dependent exchange option using?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 23, 2015 at 15:12 | history | edited | Gordon | CC BY-SA 3.0 |
added 531 characters in body
|
| Nov 23, 2015 at 14:32 | history | edited | Gordon | CC BY-SA 3.0 |
added 12 characters in body
|
| Nov 22, 2015 at 14:15 | comment | added | Gordon | @SRKX: You are right. Since $Z_t$ is a GBM, I tried to leverage on existing result. | |
| Nov 22, 2015 at 11:45 | comment | added | SRKX | I know you did most of the job here, but I'd really love to see the example go on until the close-form assuming a lognormal. But I guess that's just long a tedious algebra to get the value of the expectation given the joint distribution of $S$ and $P$ right? Or maybe you define $Z_t=\frac{S_t}{P_t}$ which is also a GBM and which should help already. | |
| Nov 21, 2015 at 14:30 | history | edited | Gordon | CC BY-SA 3.0 |
added 24 characters in body
|
| Nov 20, 2015 at 21:41 | history | edited | Gordon | CC BY-SA 3.0 |
added 52 characters in body
|
| Nov 20, 2015 at 21:36 | history | answered | Gordon | CC BY-SA 3.0 |