Lookback option pricing for regime-switching jump diffusion models

DOI10.3934/mcrf.2015.5.237zbMath1347.91234OpenAlexW2329631966MaRDI QIDQ888789

Zhuo Jin, Lin-Yi Qian

Publication date: 2 November 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.237

zbMATH Keywords

jump-diffusion modelsMarkov chain approximationfloating strikelookback optionsintegro-differential partial differential equations

Mathematics Subject Classification ID

Related Items (1)

Pricing some life-contingent lookback options under regime-switching Lévy models

Cites Work

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