Lookback options pricing for uncertain financial market
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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.
KeywordsUncertainty theory Uncertain differential equation Lookback options Financial derivatives
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).
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Conflict of interest
The authors declare that there is no conflict of interest.
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