Uncertain strike lookback options pricing with floating interest rate

DOI10.1007/s11147-020-09170-4zbMath1467.91192OpenAlexW3049311712MaRDI QIDQ2036859

Ziping Du, Xiangbo Meng, Yanmei Sun, Li-Dong Zhang

Publication date: 30 June 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-020-09170-4

zbMATH Keywords

lookback optionuncertain processfloating interest rateuncertain strike price

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

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Cites Work

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