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

zbMATH Open1449.91167MaRDI QIDQ3306181FDOQ3306181

Authors: Zhaoqiang Yang 

Publication date: 12 August 2020

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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)

Cited In (10)

• Pricing European lookback option by a special kind of mixed jump-diffusion model
• Critical exercise price for American floating strike lookback option in a mixed jump-diffusion model
• A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
• The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
• 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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