Lookback option pricing problem of uncertain exponential Ornstein–Uhlenbeck model

被引：0
|
作者：
Yin Gao
Xiangfeng Yang
Zongfei Fu
机构：
[1] Renmin University of China,School of Information
[2] University of International Business & Economics,School of Information Technology & Management
来源：
Soft Computing | 2018年 / 22卷
关键词：
Uncertain variable; Uncertain process; Exponential Ornstein–Uhlenbeck model; Lookback option;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A lookback option is an exotic option that allows investors to “look back” at the underlying prices occurring over the life of the option, and exercises the right at asset’s optimal point. This paper mainly investigates the lookback call and put option pricing formulas based on the uncertain exponential Ornstein–Uhlenbeck model and designs the algorithms to calculate those prices numerically. Several numerical examples are given to illustrate the effectiveness of the proposed model.
引用
收藏
页码：5647 / 5654
页数：7
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