A closed-form solution for lookback options using Mellin transform approach

DOI10.7858/EAMJ.2016.022MaRDI QIDQ3178447zbMATH OpenOpenAlexFDO

Authors Junkee Jeon, Ji-Hun Yoon

Publication date 14 July 2016

Published in East Asian mathematical journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7858/eamj.2016.022

zbMATH Keywords

floating lookback optionMellin transformmethod of images

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• The price of a lookback option as the solution of a boundary-value problem for the heat equation
• Study on the valuation of lookback options in a jump-diffusion model
• Pricing of lookback options under stochastic interest rates
• An exact and explicit formula for pricing lookback options with regime switching

Cited in

(4)

• The price of a lookback option as the solution of a boundary-value problem for the heat equation
• Valuing vulnerable geometric Asian options
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• Pricing vulnerable path-dependent options using integral transforms

This page was built for publication: A closed-form solution for lookback options using Mellin transform approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3178447)