Title of article
An analytic pricing formula for lookback options under stochastic volatility
Author/Authors
Leung، نويسنده , , Kwai Sun، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
5
From page
145
To page
149
Abstract
In this work, an analytic pricing formula for floating strike lookback options under Heston’s stochastic volatility model is derived by means of the homotopy analysis method. The fixed strike lookback options can then be priced on the basis of the results of floating strike and the put–call parity relation for lookback options.
Keywords
Lookback options , Homotopy analysis method , stochastic volatility , pricing options
Journal title
Applied Mathematics Letters
Serial Year
2013
Journal title
Applied Mathematics Letters
Record number
1528803
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