Some Lookback Option Pricing Problems

2001 ◽  
Author(s):  
Xin Guo
Keyword(s):  
Option Pricing ◽  
Lookback Option ◽  
Pricing Problems

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems

scholarly journals Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems

2015 ◽  
Vol 2015 ◽  
pp. 1-10
Author(s):  
M. Fakharany ◽  
R. Company ◽  
L. Jódar
Keyword(s):  
Option Pricing ◽  
Numerical Solution ◽  
Numerical Solutions ◽  
Stable Process ◽  
Integration Formula ◽  
Pricing Models ◽  
Integral Term ◽  
Pricing Problems ◽  
Stability And Consistency ◽  
Partial Integrodifferential Equation

This paper is concerned with the numerical solution of partial integrodifferential equation for option pricing models under a tempered stable process known as CGMY model. A double discretization finite difference scheme is used for the treatment of the unbounded nonlocal integral term. We also introduce in the scheme the Patankar-trick to guarantee unconditional nonnegative numerical solutions. Integration formula of open type is used in order to improve the accuracy of the approximation of the integral part. Stability and consistency are also studied. Illustrative examples are included.

scholarly journals A mixed derivative terms removing method in multi-asset option pricing problems

2016 ◽  
Vol 60 ◽  
pp. 108-114 ◽  
Author(s):  
R. Company ◽  
V.N. Egorova ◽  
L. Jódar ◽  
F. Soleymani
Keyword(s):  
Option Pricing ◽  
Mixed Derivative ◽  
Pricing Problems

scholarly journals Lookback Option Pricing Problems of Uncertain Mean-Reverting Stock Model

2021 ◽  
Vol 25 (5) ◽  
pp. 539-545
Author(s):  
Zhaopeng Liu ◽  
Keyword(s):  
Interest Rate ◽  
Option Pricing ◽  
Asset Price ◽  
Option Price ◽  
Cir Model ◽  
Lookback Option ◽  
Proposed Model ◽  
Stock Model ◽  
Path Dependent ◽  
The Interest Rate

A lookback option is a path-dependent option, offering a payoff that depends on the maximum or minimum value of the underlying asset price over the life of the option. This paper presents a new mean-reverting uncertain stock model with a floating interest rate to study the lookback option price, in which the processing of the interest rate is assumed to be the uncertain counterpart of the Cox–Ingersoll–Ross (CIR) model. The CIR model can reflect the fluctuations in the interest rate and ensure that such rate is positive. Subsequently, lookback option pricing formulas are derived through the α-path method and some mathematical properties of the uncertain option pricing formulas are discussed. In addition, several numerical examples are given to illustrate the effectiveness of the proposed model.

scholarly journals Lookback Option Pricing Problem of Uncertain Mean-reverting Currrency Model

2021 ◽  
Author(s):  
Yang Liu ◽  
Liying Liu
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Currency Option ◽  
Lookback Option

Abstract A lookback option is a maturity option that pays off based on the maximum or minimum stock price over the life of the option. This paper investigates the problem of pricing a lookback currency option based on the uncertain mean-reverting currency model and designs the algorithms to calculate the formulations. Furthermore, disscussions about parameters and result are drawn in the paper.

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

2017 ◽  
Vol 13 (5) ◽  
pp. 0-0 ◽  
Author(s):  
Miao Tian ◽  
◽  
Xiangfeng Yang ◽  
Yi Zhang ◽  
◽  
...  
Keyword(s):  
Option Pricing ◽  
Uncertain Environment ◽  
Lookback Option ◽  
Stock Model

Tri-Diagonal Preconditioner for Toeplitz Systems from Finance

2011 ◽  
Vol 1 (1) ◽  
pp. 82-88
Author(s):  
Hong-Kui Pang ◽  
Ying-Ying Zhang ◽  
Xiao-Qing Jin
Keyword(s):  
Differential Equation ◽  
Theoretical Analysis ◽  
Convergence Rate ◽  
Option Pricing ◽  
Gradient Method ◽  
Preconditioned Conjugate Gradient ◽  
Superlinear Convergence Rate ◽  
Pricing Problems ◽  
Toeplitz Systems ◽  
Toeplitz System

AbstractWe consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis.

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