Pricing of fixed-strike lookback options on assets with default risk

DOI10.1155/2019/8412698zbMath1435.91184OpenAlexW2908947716WikidataQ128507646 ScholiaQ128507646MaRDI QIDQ2298860

Sun-Yong Choi, Junkee Jeon, Ji-Hun Yoon

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8412698

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Unnamed Item ⋮ Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach ⋮ Pricing external barrier options under a stochastic volatility model

Cites Work

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• Pricing vulnerable options under a stochastic volatility model
• Pricing perpetual options using Mellin transforms
• Equivalence of floating and fixed strike Asian and lookback options
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• QUANTO LOOKBACK OPTIONS
• Multi‐asset barrier options and occupation time derivatives

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