Lookback options with discrete and partial monitoring of the underlying price

DOI10.1080/13504869500000014zbMath1466.91340OpenAlexW1976607776MaRDI QIDQ4994409

Harry M. Kat, Ronald C. Heynen

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000014

zbMATH Keywords

numerical integrationexotic optionsmultivariate normal distributionlookback optionsrisk neutral valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ Outside barrier lookback options with floating strike ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ Option pricing formulas in a new uncertain mean-reverting stock model with floating interest rate ⋮ Intermediate rank lattice rules and applications to finance ⋮ Lookback options pricing for uncertain financial market

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing and hedging power options
• Semimartingales: A course on stochastic processes
• Unnamed Item

This page was built for publication: Lookback options with discrete and partial monitoring of the underlying price