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- Title
Pricing a class of American and European path dependent securities.
- Authors
Hilliard, Jimmy E.; Kau, James B.
- Abstract
Path dependent securities depend on current and past values of underlying state variables. Consequently, the usual backward evaluation technique is difficult to apply since state variable values existing earlier in real time are unknown. This paper develops a series of propositions which makes possible the pricing of a certain class of both American and European versions of these path dependent securities.
- Subjects
UNITED States; EUROPE; SECURITIES; FINANCIAL markets; PRICING; VALUATION; MATHEMATICAL variables; MATHEMATICAL models; MATHEMATICS; SECURITIES trading
- Publication
Management Science, 1995, Vol 41, Issue 12, p1892
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.41.12.1892