Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
From MaRDI portal
Publication:2128181
Recommendations
- Pricing perpetual American puts under multi-scale stochastic volatility
- Pricing perpetual American options under multiscale stochastic elasticity of variance
- Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- The asymptotic formula of the perpetual American barrier option under stochastic volatility
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A fast numerical method for the valuation of American lookback put options
- American Options with Lookback Payoff
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
- Convergence of European lookback options with floating strike in the binomial model
- Default probability of American lookback option in a mixed jump-diffusion model
- Double lookbacks
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Exercise Regions And Efficient Valuation Of American Lookback Options
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Lookback options with discrete and partial monitoring of the underlying price
- Multiple time scales in volatility and leverage correlations: a stochastic volatility model
- Multiscale Stochastic Volatility Asymptotics
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Perpetual game options with a multiplied penalty
- Pricing credit default swaps under a multi-scale stochastic volatility model
- Pricing of American lookback spread options
- Pricing perpetual American options under multiscale stochastic elasticity of variance
- Pricing perpetual American puts under multi-scale stochastic volatility
- Simulation of European lookback options
- The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
- The pricing of lookback options and binomial approximation
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
Cited in
(8)- Pricing perpetual American puts under multi-scale stochastic volatility
- Valuing of timer path-dependent options
- Robust and accurate construction of the local volatility surface using the Black-Scholes equation
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Pricing perpetual American options under multiscale stochastic elasticity of variance
- Perpetual cancellable American options with convertible features
- Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
- Lookback option pricing under the double Heston model using a deep learning algorithm
This page was built for publication: Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2128181)
