Journal
SOFT COMPUTING
Volume 23, Issue 14, Pages 5537-5546Publisher
SPRINGER
DOI: 10.1007/s00500-018-3211-0
Keywords
Uncertainty theory; Uncertain differential equation; Lookback options; Financial derivatives
Categories
Funding
- National Natural Science Foundation of China [71371113, 71371141, 71001080]
- Doctoral Fund of Shanxi Datong University [2016-B-03]
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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.
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