A general approach for lookback option pricing under Markov models-Reference-Cited by-同舟云学术

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A general approach for lookback option pricing under Markov models

Published:2023-07-23 Issue:9 Volume:23 Page:1305-1324
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhang Gongqiu¹,Li Lingfei²^ORCID

Affiliation:

1. School of Science and Engineering, The Chinese University of Hong Kong, Shenzhen, People's Republic of China

2. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong SAR, People's Republic of China

Funder

Hong Kong Research Grant Council GRF

National Natural Science Foundation of China

Shenzhen Fundamental Research Program

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2230254

Reference60 articles.

1. Random walk duality and the valuation of discrete lookback options

2. Universal option valuation using quadrature methods

3. Extending quadrature methods to value multi-asset and complex path dependent options

4. Discrete extrema of Brownian motion and pricing of exotic options

5. Binomial valuation of lookback options

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk;Communications in Nonlinear Science and Numerical Simulation;2024-11

2. Speed and duration of drawdown under general Markov models;Quantitative Finance;2024-04-02

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