Pricing a Class of American and European Path Dependent Securities

Jimmy E. Hilliard, James Kau (), Donald Keenan and Walter Muller
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Jimmy E. Hilliard: University of Georgia, Department of Banking and Finance, Athens, Georgia 30602

Management Science, 1995, vol. 41, issue 12, 1892-1899

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.

Keywords: derivatives; path dependent; swap; valuation (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:41:y:1995:i:12:p:1892-1899

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