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Lookback option pricing problem of mean-reverting stock model in uncertain environment

  • * Corresponding author: Xiangfeng Yang

    * Corresponding author: Xiangfeng Yang 

The second author is supported by the Program for Young Excellent Talents in UIBE (No.18YQ06).

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  • 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.

    Mathematics Subject Classification: Primary: 91G99; Secondary: 91G80.

    Citation:

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  • Figure 1.  Lookback call option price $ f_{call} $ with different parameters

    Figure 2.  Lookback put option price $ f_{put} $ with different parameters

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