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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.
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