Pricing of lookback options under stochastic interest rates

MaRDI QIDQ3501608zbMATH OpenFDO

Authors Yanqiu Zhang, Xueqiao du

Publication date 3 June 2008

zbMATH Keywords

Girsanov theoremequivalent martingale measures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(16)

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• Pricing a kind of looking back-reset options with Ornstein-Uhlenbeck processes
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