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Valuation of American Lookback-Options and the Distribution of Kronecker Sequences Cover

Valuation of American Lookback-Options and the Distribution of Kronecker Sequences

Open Access
|Jun 2025

References

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  2. Hull, J. Options, Futures and other Derivatives (9th Edition). Pearson 2014
  3. Jiang, L. and Dai, M. Convergence of Binomial Tree Methods for European/American path dependent options. SIAM J. Numer. Anal. 42, Nr 3. pp 1094-1109, 2004.
  4. Khintchine, A. Einige SÅNatze ÅNuber KettenbrÅNuche mit Anwendungen auf die Theorie der Diophantischen Approximationen. Math.Ann. 92, 115-125. 1924.
  5. Kuipers, L. and Niederreiter, H. Uniform Distribution of Sequences. Wiley 1974
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DOI: https://doi.org/10.2478/udt-2025-0001 | Journal eISSN: 2309-5377 | Journal ISSN: 1336-913X
Language: English
Page range: 1 - 15
Submitted on: Oct 24, 2024
Accepted on: Apr 29, 2025
Published on: Jun 3, 2025
Published by: Slovak Academy of Sciences, Mathematical Institute
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2025 Gerhard Larcher, Stefan Pomberger, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.