The price of a lookback option as the solution of a boundary-value problem for the heat equation

DOI10.1007/S10598-009-9020-7zbMath1180.91292OpenAlexW2062837479MaRDI QIDQ1037040

V. V. Morozov, D. L. Muravei

Publication date: 13 November 2009

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-009-9020-7

zbMATH Keywords

Laplace transformboundary value problemlookback optionparabolic PDEBlack-Scholes-Merton model

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing Lookback Options and Dynamic Guarantees

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