Lookback options pricing for uncertain financial market

DOI10.1007/s00500-018-3211-0zbMath1418.91549OpenAlexW2802573242MaRDI QIDQ2318289

Weiqi Liu, Hua Ke, Zhi-Qiang Zhang

Publication date: 14 August 2019

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-018-3211-0

zbMATH Keywords

uncertainty theoryuncertain differential equationfinancial derivativeslookback options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Parameter estimation of uncertain differential equation with application to financial market ⋮ Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends ⋮ Isogeometric boundary element for analyzing steady-state heat conduction problems under spatially varying conductivity and internal heat source ⋮ Option pricing formulas in a new uncertain mean-reverting stock model with floating interest rate ⋮ Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation ⋮ Lookback option pricing problem of uncertain mean-reverting currency model

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• QUANTO LOOKBACK OPTIONS
• Lookback options with discrete and partial monitoring of the underlying price
• A numerical method for solving uncertain differential equations
• Uncertainty theory

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