Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment
2017 ◽
Vol 2017
◽
pp. 1-17
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Keyword(s):
A new framework for pricing the American fractional lookback option is developed in the case where the stock price follows a mixed jump-diffusion fraction Brownian motion. By using Itô formula and Wick-Itô-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.
2017 ◽
Vol 04
(02n03)
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pp. 1750033
Keyword(s):
2018 ◽
Vol 34
(1)
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pp. 27-52
2015 ◽
Vol 2015
◽
pp. 1-10
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2015 ◽
Vol 18
(02)
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pp. 1550008
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Keyword(s):
2021 ◽
Vol 1744
(3)
◽
pp. 032093
Keyword(s):
2010 ◽
Vol 45
(6)
◽
pp. 1563-1590
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