Pricing formulas of barrier-lookback option in uncertain financial markets

Yin Gao and Lifen Jia

Chaos, Solitons & Fractals, 2021, vol. 147, issue C

Abstract: Barrier-lookback option stands for a class of exotic options involving both high risky and high payback properties that are popular for many investors, which expresses that the lookback option comes into effect or becomes invalid depending on whether the underlying asset reaches the predetermined barrier level. This paper aims at investigating the pricing formulas for barrier-lookback option in uncertain financial markets, including up-and-in lookback call option, down-and-in lookback put option, up-and-out lookback put option, and down-and-out lookback call option. Assume the stock price follows the uncertain stock model, the explicit pricing formulas for the above four kinds of barrier-lookback option are obtained. Besides, the corresponding numerical examples are discussed in this paper.

Keywords: Barrier-lookback option; Lookback option; Uncertain stock model; Uncertain differential equation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:147:y:2021:i:c:s0960077921003404

DOI: 10.1016/j.chaos.2021.110986

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