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Pricing formulas of barrier-lookback option in uncertain financial markets
Chaos, Solitons & Fractals ( IF 7.8 ) Pub Date : 2021-05-11 , DOI: 10.1016/j.chaos.2021.110986
Yin Gao , Lifen Jia

Barrier-lookback option stands for a class of exotic options involving both high risky and high payback properties that are popular for many investors, which expresses that the lookback option comes into effect or becomes invalid depending on whether the underlying asset reaches the predetermined barrier level. This paper aims at investigating the pricing formulas for barrier-lookback option in uncertain financial markets, including up-and-in lookback call option, down-and-in lookback put option, up-and-out lookback put option, and down-and-out lookback call option. Assume the stock price follows the uncertain stock model, the explicit pricing formulas for the above four kinds of barrier-lookback option are obtained. Besides, the corresponding numerical examples are discussed in this paper.



中文翻译:

不确定金融市场中的壁垒回溯期权定价公式

屏障回溯期权代表一类涉及许多投资者的高风险和高回报资产的异国期权,这表示回溯期权是否生效,取决于基础资产是否达到预定的屏障水平。本文旨在研究不确定金融市场中障碍回溯期权的定价公式,包括上下回溯看涨期权,上下回溯看跌期权,上下回溯看跌期权和上下冲回期权。 -out回溯调用选项。假设股票价格遵循不确定股票模型,则可以得到上述四种障碍回溯期权的显式定价公式。此外,本文还讨论了相应的数值示例。

更新日期:2021-05-11
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