Pricing American lookback options under a stochastic volatility model

DOI10.4134/BKMS.B220134zbMATH Open1530.91569MaRDI QIDQ6043631FDOQ6043631

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Publication date: 23 May 2023

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zbMATH Keywords

Monte Carlo simulationstochastic volatilityAmerican lookback optionsLaplace-Carson transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15) Laplace transform (44A10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• A refined Laplace-Carson transform approach to valuing convertible bonds

Cited In (3)

• Title not available (Why is that?)
• American option pricing under stochastic volatility: an empirical evaluation
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility

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