Valuation of lookback option under uncertain volatility model

DOI10.1016/j.chaos.2021.111566zbMath1498.91464OpenAlexW3211712600MaRDI QIDQ2171467

Dan A. Ralescu, Wei-wei Wang

Publication date: 9 September 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111566

zbMATH Keywords

parameter estimationuncertain volatility modellookback optionuncertainty theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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