Lookback options and diffusion hitting times: a spectral expansion approach
type: Item
instance of: scholarly article
title: Lookback options and diffusion hitting times: a spectral expansion approach
zbMATH Open document ID: 1065.60105
author: Vadim Linetsky
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
review text: The author applies the spectral expansion approach to lookback options. Some general results for lookback options are presented when the underlying follows a one-dimensional diffusion and lookback prices are expressed in terms of hitting time distributions. A spectral decomposition of the first hitting time distribution of a one-dimensional diffusion is given. Then the diffusion with constant elasticity of variance is considered and analytical solutions for lookback options are obtained in terms of spectral expansions. This spectral expansion can serve as benchmarks for numerical methods. The specific advantages of spectral expansions are demonstrated.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 60J35
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 2169540
zbMATH Keywords: lookback options
zbMATH Keywords: diffusion maximum and minimum
zbMATH Keywords: hitting times
zbMATH Keywords: spectral expansions
zbMATH Keywords: constant elasticity of variance
zbMATH Keywords: Bessel process
MaRDI profile type: Publication
full work available at URL: s00780-003-0120-5
OpenAlex ID: W2142368463
DOI: 10.1007/S00780-003-0120-5
description: scientific article; zbMATH DE number 2169540