Pricing vulnerable lookback options using Laplace transforms

DOI10.1016/J.CAM.2024.116014MaRDI QIDQ6581980zbMATH OpenFDO

Authors Xinying Wang, Ke Zhou

Publication date 1 August 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.116014

zbMATH Keywords

first passage timejump-diffusionLaplace transformslookback optionsvulnerable options

Mathematics Subject Classification ID

Laplace transform (44A10) Jump processes on discrete state spaces (60J74) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Pricing vulnerable power exchange options in an intensity based framework
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Cited in

(2)

• Pricing of the vulnerable exchange option under the mixed fractional Brownian motion environment
• Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

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