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

MaRDI QIDQ3513645zbMATH OpenFDO

Authors Shaorong Liu, Xiangqun Yang

Publication date 6 August 2008

zbMATH Keywords

Girsanov's theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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