随机延迟微分方程模型中的回溯期权定价公式

Pub Date : 2024-10-17 DOI:10.1016/j.spl.2024.110283

Paek Il-Kwang , Kang Chol-Su , Kim Kyong-Hui

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引用次数: 0

摘要

本文论述了当标的资产价格过程由随机延迟微分方程（以下简称 "SDEDE"）表示时，Lookback 期权的新的显式定价公式。我们推导了一个关于 SDDE 模型中维纳过程的最小值及其本身的联合分布的两难式。利用这个定理，我们得到了回溯期权的明确定价公式。通过一些数值对比实验，我们保证了所得到的定价公式的正确性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Pricing formula of Lookback option in stochastic delay differential equation model

This paper deals with new explicit pricing formulae for Lookback option when underlying asset price processes are represented by stochastic delay differential equation (hereafter “SDDE”). We derive a lemma on the joint distribution of the minimum and itself of a Wiener process in the SDDE model. Using this lemma, we obtain the explicit pricing formulae for the Lookback option. Through some numerical comparison experiment, we assure the correctness of the obtained pricing formula.

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