A semi-analytic pricing formula for lookback options under a general stochastic volatility model

DOI10.1016/J.SPL.2013.08.002zbMath1283.91181OpenAlexW1990743015MaRDI QIDQ2438502

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 5 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.08.002

zbMATH Keywords

stochastic volatilityhomotopy analysis methodlookback option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ A modified analytical approach for fractional discrete KdV equations arising in particle vibrations ⋮ Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles ⋮ Valuation of barrier and lookback options under hybrid CEV and stochastic volatility ⋮ A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ Time-delay feedback control of a cantilever beam with concentrated mass based on the homotopy analysis method

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