Pricing European lookback option in a special kind of mixed jump-diffusion Black-Scholes model

MaRDI QIDQ3306181zbMATH OpenFDO

Authors Zhaoqiang Yang

Publication date 12 August 2020

zbMATH Keywords

error estimatesFeynman-Kac formulamixed jump-diffusion fractional Brownian motionEuropean fixed strike lookback optionsperturbation method of multiscale-parameter

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fractional processes, including fractional Brownian motion (60G22) Jump processes on discrete state spaces (60J74)

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• Simulation of European lookback options
• Numerical solution method of European lookback option pricing model under mixed jump-diffusion fractional Brownian motion
• Study on the valuation of lookback options in a jump-diffusion model
• Pricing of lookback options under a mixed fractional Brownian movement
• Pricing lookback option of discrete arithmetic averaging assets' floating striking price in models with jumps
• Pricing and hedging of lookback options in hyper-exponential jump diffusion models

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