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cosmologist
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Posts: 640
Joined: January 24th, 2005, 8:08 am

Replication methods for Exotic Options

February 24th, 2011, 9:07 am

Research Paper references needed for the above method. Anyone has tried doing the Dr. Mark Joshi's method.
 
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mj
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

Replication methods for Exotic Options

February 28th, 2011, 3:14 am

I have.Peter Carr also has a bunch of papers on the topic.
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