An exact and explicit formula for pricing lookback options with regime switching (Q2083405)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An exact and explicit formula for pricing lookback options with regime switching |
scientific article |
Statements
An exact and explicit formula for pricing lookback options with regime switching (English)
0 references
10 October 2022
0 references
option pricing
0 references
Markov-modulated geometric Brownian motion
0 references
regime switching
0 references
lookback options
0 references
