PRICING A CLASS OF AMERICAN AND EUROPEAN PATH DEPENDENT SECURITIES

Authors
HILLIARD JE KAU JB KEENAN DC MULLER WJ
Citation
Je. Hilliard et al., PRICING A CLASS OF AMERICAN AND EUROPEAN PATH DEPENDENT SECURITIES, Management science, 41(12), 1995, pp. 1892-1899
Citations number
13
Categorie Soggetti
Management,"Operatione Research & Management Science
Journal title
Management science → ACNP
ISSN journal
00251909
Volume
41
Issue
12
Year of publication
1995
Pages
1892 - 1899
Database
ISI
SICI code
0025-1909(1995)41:12<1892:PACOAA>2.0.ZU;2-U
Abstract
Path dependent securities depend on current and past values of underly ing state variables. Consequently, the usual backward evaluation techn ique is difficult to apply since state variable values existing earlie r in real time are unknown. This paper develops a series of propositio ns which makes possible the pricing of a certain class of both America n and European versions of these path dependent securities.