Lookback options pricing for uncertain financial market

被引：2
|
作者：
Zhiqiang Zhang
Hua Ke
Weiqi Liu
机构：
[1] Shanxi Datong University,School of Mathematics and Computer Science
[2] Tongji University,School of Economics and Management
[3] Shanxi University,Institute of Management and Decision
[4] Shanxi University of Finance and Economics,Faculty of Finance and Banking
来源：
Soft Computing | 2019年 / 23卷
关键词：
Uncertainty theory; Uncertain differential equation; Lookback options; Financial derivatives;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Lookback options are among the most popular path-dependent options in financial market. In this paper, the option pricing problem of lookback options is investigated under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process instead of stochastic differential equation, and the lookback options pricing formulae are derived under this assumption. Several numerical examples are also discussed to illustrate the pricing formula.
引用
收藏
页码：5537 / 5546
页数：9
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