An analytic pricing formula for lookback options under stochastic volatility
type: Item
instance of: scholarly article
title: An analytic pricing formula for lookback options under stochastic volatility
zbMATH Open document ID: 1262.91070
author: Kwai Sun Leung
published in: Applied Mathematics Letters
publication date: 2012-11-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6107012
zbMATH Keywords: lookback options
zbMATH Keywords: stochastic volatility
zbMATH Keywords: pricing options
zbMATH Keywords: homotopy analysis method
MaRDI profile type: Publication
full work available at URL: j.aml.2012.07.008
OpenAlex ID: W1985328029
DOI: 10.1016/J.AML.2012.07.008
description: scientific article; zbMATH DE number 6107012