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Lookback option pricing problem of mean-reverting stock model in uncertain environment
Journal of Industrial and Management Optimization ( IF 1.2 ) Pub Date : 2020-05-19 , DOI: 10.3934/jimo.2020090
Miao Tian , , Xiangfeng Yang , Yi Zhang , ,

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 to exercise the right at assets optimal point. This paper proposes a mean-reverting stock model to investigate the lookback option in an uncertain environment. The lookback call and put options pricing formulas of the stock model are derived, and the corresponding numerical algorithms are designed to compute the prices of these two options.

中文翻译:

不确定环境下均值回归股票模型的回顾期权定价问题

回顾期权是一种奇异期权,它允许投资者回顾期权有效期内发生的标的价格,并在资产最佳点行使权利。本文提出了一种均值回归股票模型来研究不确定环境中的回溯期权。推导出股票模型的回顾性看涨期权和看跌期权定价公式,并设计相应的数值算法来计算这两种期权的价格。
更新日期:2020-05-19
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