An analytic pricing formula for lookback options under stochastic volatility

doi:10.1016/j.aml.2012.07.008

科研成果详情

题名	An analytic pricing formula for lookback options under stochastic volatility
作者	Leung，Kwai Sun
发表日期	2013
发表期刊	Applied Mathematics Letters
ISSN/eISSN	0893-9659
卷号	26 期号:1 页码:145-149
摘要	In this work, an analytic pricing formula for floating strike lookback options under Heston's stochastic volatility model is derived by means of the homotopy analysis method. The fixed strike lookback options can then be priced on the basis of the results of floating strike and the put-call parity relation for lookback options. © 2012 Elsevier Ltd. All rights reserved.
关键词	Homotopy analysis method Lookback options Pricing options Stochastic volatility
DOI	10.1016/j.aml.2012.07.008
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-84866025048
引用统计	被引频次：23[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/6567
专题	北师香港浸会大学
作者单位	Division of Science and Technology,Beijing Normal University-Hong Kong Baptist University,United International College,Zhuhai, 519085,China
第一作者单位	北师香港浸会大学
推荐引用方式 GB/T 7714	Leung，Kwai Sun. An analytic pricing formula for lookback options under stochastic volatility[J]. Applied Mathematics Letters, 2013, 26(1): 145-149.
APA	Leung，Kwai Sun. (2013). An analytic pricing formula for lookback options under stochastic volatility. Applied Mathematics Letters, 26(1), 145-149.
MLA	Leung，Kwai Sun."An analytic pricing formula for lookback options under stochastic volatility". Applied Mathematics Letters 26.1(2013): 145-149.