An exact and explicit formula for pricing lookback options with regime switching (Q2083405)
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scientific article; zbMATH DE number 7599093
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | An exact and explicit formula for pricing lookback options with regime switching |
scientific article; zbMATH DE number 7599093 |
Statements
An exact and explicit formula for pricing lookback options with regime switching (English)
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10 October 2022
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option pricing
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Markov-modulated geometric Brownian motion
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regime switching
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lookback options
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0.8685740232467651
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0.8554916381835938
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0.8467328548431396
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0.8396375775337219
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