An exact and explicit formula for pricing lookback options with regime switching

DOI10.3934/jimo.2021203OpenAlexW3215241970MaRDI QIDQ2083405

Leunglung Chan, Song-Ping Zhu

Publication date: 10 October 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.4864

zbMATH Keywords

option pricingregime switchingMarkov-modulated geometric Brownian motionlookback options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• An analytic pricing formula for lookback options under stochastic volatility
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Information and option pricings
• An exact and explicit solution for the valuation of American put options

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