An exact and explicit formula for pricing lookback options with regime switching
type: Item
instance of: scholarly article
title: An exact and explicit formula for pricing lookback options with regime switching
author: Leunglung Chan
author: Song-Ping Zhu
published in: Journal of Industrial and Management Optimization
publication date: 2022-10-10T00:00:00Z
full work available at URL: https://arxiv.org/abs/1407.4864
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 7599093
zbMATH Keywords: option pricing
zbMATH Keywords: Markov-modulated geometric Brownian motion
zbMATH Keywords: regime switching
zbMATH Keywords: lookback options
MaRDI profile type: Publication
OpenAlex ID: W3215241970
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DOI: 10.3934/JIMO.2021203
description: scientific article; zbMATH DE number 7599093