Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model
2017 ◽
Vol 04
(02n03)
◽
pp. 1750033
Keyword(s):
This study presents an efficient method for pricing the American fractional lookback option in the case where the stock price follows a mixed jump diffusion fraction Brownian motion. By using It ô formula and Wick–It ô–Skorohod integral, a new market pricing model is built. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given. Numerical simulation illustrates some notable features of American fractional lookback options.
2018 ◽
Vol 34
(1)
◽
pp. 27-52
2017 ◽
Vol 2017
◽
pp. 1-17
◽
2020 ◽
Vol 540
◽
pp. 123242
◽
Keyword(s):
2015 ◽
Vol 2015
◽
pp. 1-10
◽
2019 ◽
Keyword(s):
Keyword(s):
2015 ◽
Vol 18
(02)
◽
pp. 1550008
◽
Keyword(s):
2011 ◽
Vol 50-51
◽
pp. 723-727
2009 ◽
Vol 2009
◽
pp. 1-17
◽
2016 ◽
Vol 19
(06)
◽
pp. 1650046
◽
Keyword(s):