Lookback options pricing for uncertain financial market

被引：14
|
作者：
Zhang, Zhiqiang [1 ]
Ke, Hua [2 ]
Liu, Weiqi [3 ,4 ]
机构：
[1] Shanxi Datong Univ, Sch Math & Comp Sci, Datong 037009, Peoples R China
[2] Tongji Univ, Sch Econ & Management, Shanghai 200092, Peoples R China
[3] Shanxi Univ, Inst Management & Decis, Taiyuan 030006, Shanxi, Peoples R China
[4] Shanxi Univ Finance & Econ, Fac Finance & Banking, Taiyuan 030006, Shanxi, Peoples R China
来源：
SOFT COMPUTING | 2019年 / 23卷 / 14期
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; Uncertain differential equation; Lookback options; Financial derivatives; PATH DEPENDENT OPTIONS; MODEL;
D O I：
10.1007/s00500-018-3211-0
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
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：10
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