A semi-analytic pricing formula for lookback options under a general stochastic volatility model

DOI10.1016/j.spl.2013.08.002zbMath1283.91181OpenAlexW1990743015MaRDI QIDQ2438502

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 5 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.08.002

zbMATH Keywords

stochastic volatilityhomotopy analysis methodlookback option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL, A modified analytical approach for fractional discrete KdV equations arising in particle vibrations, Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles, Valuation of barrier and lookback options under hybrid CEV and stochastic volatility, A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion, Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment, Time-delay feedback control of a cantilever beam with concentrated mass based on the homotopy analysis method

Uses Software

• Mathematica

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Homotopy analysis method for option pricing under stochastic volatility
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• Numerically solving nonlinear problems by the homotopy analysis method
• An analytic pricing formula for lookback options under stochastic volatility
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Stochastic volatility, smile & asymptotics
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An exact and explicit solution for the valuation of American put options
• Stochastic differential equations. An introduction with applications.
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