Pricing a kind of looking back-reset options with Ornstein-Uhlenbeck processes
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Publication:3513645
zbMATH Open1150.91377MaRDI QIDQ3513645FDOQ3513645
Authors: Shaorong Liu, Xiangqun Yang 
Publication date: 6 August 2008
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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- Using relative returns to accommodate fat-tailed innovations in processes and option pricing
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- Back to basics: historical option pricing revisited
- Pricing lookback options on the stocks driven by exponential Ornstein-Uhlenbeck process
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
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