An analytic pricing formula for lookback options under stochastic volatility

Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics

“…Lorig et al (2014) used asymptotic expansion to solve a parabolic PDE. Kim (2011a,b, 2013) and Leung (2013) solved the CEV and Heston model by the Homotopy Analysis Method (HAM), originally developed by Liao (1992), Liao (2003). The HAM is an elegant and powerful tool to solve nonlinear problems.…”

Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model

“…Then the explicit integral representation of early exercise premium and the American fractional lookback option factorization formula are also given. Based on some researches of lookback options pricing and early exercise premium in the literature (Feng and Linetsky, 2009;Kim et al, 2011;Leung, 2013;Park and Kim, 2013;Fuh and Luo, 2013;Eberlein and Papapantoleon, 2005;Lai and Lim, 2004), to achieve quick and accurate pricing for practical purposes, this paper adopts the critical exercise price to valuing the American fractional lookback options, and numerical simulation illustrates some notable features of the American fractional lookback options.…”

Optimal Exercise Boundary of American Fractional Lookback Option in a Mixed Jump-Diffusion Fractional Brownian Motion Environment

“…Then the explicit integral representation of early exercise premium and the American fractional lookback options factorization formula are also given. Based on some researches of lookback options pricing and early exercise premium in the literature [22][23][24][25][26][27][28], to achieve quick and accurate pricing for practical purposes, this paper adopts the critical exercise price to value American fractional lookback options, and numerical simulation illustrates some notable features of American fractional lookback options.…”