Lookback Option Pricing Problem of Uncertain Mean-reverting Currrency Model
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.
2009 ◽
Vol 13
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pp. 189-208
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2018 ◽
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2011 ◽
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