Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model

DOI10.1007/s00500-017-2558-yzbMath1398.91589OpenAlexW2606376523WikidataQ115606559 ScholiaQ115606559MaRDI QIDQ1800326

Xiangfeng Yang, Zongfei Fu, Yin Gao

Publication date: 23 October 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-017-2558-y

zbMATH Keywords

lookback optionuncertain variableuncertain processexponential Ornstein-Uhlenbeck model

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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