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《Application of Statistics and Management》 2008-03
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Study on Pricing European Lookback Option with Transaction Cost under the CEV Process

WANG Jian-wen WANG Li-wei College of Science,North China University of Technology,Beijing 100041,China  
Based on model of pricing European lookback option without transaction cost under the CEV Process,this paper infers out the model of pricing European lookback option with transaction cost under the CEV Process,and gives its approximate solution by using variable substitution method and binomial tree method.
【Fund】: 北京市优秀人才培养资助项目(20051D0500207);; 北京市教育委员会科技发展计划面上项目(km200710009011)
【CateGory Index】: F830.9;F224
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