英文标题：
《The pricing of lookback options and binomial approximation》
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作者：
Karl Grosse-Erdmann and Fabien Heuwelyckx
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最新提交年份：
2015
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英文摘要：
Refining a discrete model of Cheuk and Vorst we obtain a closed formula for the price of a European lookback option at any time between emission and maturity. We derive an asymptotic expansion of the price as the number of periods tends to infinity, thereby solving a problem posed by Lin and Palmer. We prove, in particular, that the price in the discrete model tends to the price in the continuous Black-Scholes model. Our results are based on an asymptotic expansion of the binomial cumulative distribution function that improves several recent results in the literature.
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中文摘要：
通过改进Cheuk和Vorst的离散模型，我们得到了在排放和到期之间的任何时间，欧洲回望期权价格的闭合公式。当周期数趋于无穷大时，我们推导出价格的渐近展开式，从而解决了Lin和Palmer提出的一个问题。我们特别证明了离散模型中的价格趋向于连续Black-Scholes模型中的价格。我们的结果基于二项式累积分布函数的渐近展开，它改进了文献中最近的一些结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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