An exact and explicit formula for pricing lookback options with regime switching
نویسندگان
چکیده
<p style='text-indent:20px;'>This paper investigates the pricing of European-style lookback options when price dynamics underlying risky asset are assumed to follow a Markov-modulated Geometric Brownian motion; that is, appreciation rate and volatility depend on states economy described by continuous-time Markov chain process. We derive an exact, explicit closed-form solution for in two-state regime switching model.</p>
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ژورنال
عنوان ژورنال: Journal of Industrial and Management Optimization
سال: 2023
ISSN: ['1547-5816', '1553-166X']
DOI: https://doi.org/10.3934/jimo.2021203