Lookback option pricing problem of mean-reverting stock model in uncertain environment
نویسندگان
چکیده
A lookback option is an exotic that allows investors to look back at the underlying prices occurring over life of option, and exercise right assets optimal point. This paper proposes a mean-reverting stock model investigate in uncertain environment. The call put options pricing formulas are derived, corresponding numerical algorithms designed compute these two options.
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ژورنال
عنوان ژورنال: Journal of Industrial and Management Optimization
سال: 2021
ISSN: ['1547-5816', '1553-166X']
DOI: https://doi.org/10.3934/jimo.2020090