Pricing American lookback options under a stochastic volatility model

DOI10.4134/BKMS.B220134MaRDI QIDQ6043631zbMATH OpenFDO

Authors

Publication date 23 May 2023

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)

Recommendations

• An analytic pricing formula for lookback options under stochastic volatility
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• scientific article; zbMATH DE number 6612856
• The asymptotic formula of the perpetual American barrier option under stochastic volatility

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A refined Laplace-Carson transform approach to valuing convertible bonds
• A unified framework for numerically inverting Laplace transforms
• American Options with Lookback Payoff
• American fractional lookback options: valuation and premium decomposition
• American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
• An analytic pricing formula for lookback options under stochastic volatility
• Analytic solution for American strangle options using Laplace-Carson transforms
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
• Financial modeling in a fast mean-reverting stochastic volatility environment
• Laplace transform method for pricing American CEV strangles option with two free boundaries
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• On the convergence of the Gaver-Stehfest algorithm
• Option pricing under hybrid stochastic and local volatility
• Pricing of fixed-strike lookback options on assets with default risk
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• QUANTO LOOKBACK OPTIONS
• Randomization and the American put
• Singular Perturbations in Option Pricing
• Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• The pricing of options and corporate liabilities
• Valuing American options under the CEV model by Laplace-Carson transforms
• Valuing finite-lived Russian options

Cited in

(3)

• scientific article; zbMATH DE number 6612856 (Why is no real title available?)
• American option pricing under stochastic volatility: an empirical evaluation
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility

This page was built for publication: Pricing American lookback options under a stochastic volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6043631)