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Soft Computing

, Volume 23, Issue 14, pp 5537–5546 | Cite as

Lookback options pricing for uncertain financial market

  • Zhiqiang ZhangEmail author
  • Hua Ke
  • Weiqi Liu
Methodologies and Application
  • 124 Downloads

Abstract

Lookback options are among the most popular path-dependent options in financial market. In this paper, the option pricing problem of lookback options is investigated under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process instead of stochastic differential equation, and the lookback options pricing formulae are derived under this assumption. Several numerical examples are also discussed to illustrate the pricing formula.

Keywords

Uncertainty theory Uncertain differential equation Lookback options Financial derivatives 

Notes

Acknowledgements

This work was supported by National Natural Science Foundation of China (Grant Nos. 71371113, 71371141, 71001080) and Doctoral Fund of Shanxi Datong University (No. 2016-B-03).

Compliance with ethical standards

Conflict of interest

The authors declare that there is no conflict of interest.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of Mathematics and Computer ScienceShanxi Datong UniversityDatongChina
  2. 2.School of Economics and ManagementTongji UniversityShanghaiChina
  3. 3.Institute of Management and DecisionShanxi UniversityTaiyuanChina
  4. 4.Faculty of Finance and BankingShanxi University of Finance and EconomicsTaiyuanChina

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