Default probability of American lookback option in a mixed jump-diffusion model

DOI10.1016/j.physa.2019.123242OpenAlexW2980531182WikidataQ126993055 ScholiaQ126993055MaRDI QIDQ2067180

Zhaoqiang Yang

Publication date: 17 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123242

zbMATH Keywords

Laplace transformfirst passage timeexplicit formuladefault probabilityAmerican lookback optionmixed jump-diffusion modelMJD-fBm

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ A new approach for pricing discounted American options

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