Lookback option pricing problem of uncertain mean-reverting currency model

被引：0
|
作者：
Yang Liu
Liying Liu
机构：
[1] Liaocheng University,School of Business
[2] Liaocheng University,School of Mathematical Sciences
来源：
Soft Computing | 2021年 / 25卷
关键词：
Uncertainty theory; Uncertain differential equation; Lookback option pricing; Currency model;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A lookback option is a maturity option that pays off based on the maximum or minimum stock price over the life of the option. This paper investigates the problem of pricing a lookback option based on the uncertain mean-reverting currency model and designs the algorithms to calculate the formulations. Furthermore, discussions about parameters and results are drawn in the paper.
引用
收藏
页码：14785 / 14795
页数：10
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