随机延迟微分方程模型中的回溯期权定价公式

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters 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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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

期刊介绍： Statistics & Probability Letters adopts a novel and highly innovative approach to the publication of research findings in statistics and probability. It features concise articles, rapid publication and broad coverage of the statistics and probability literature. Statistics & Probability Letters is a refereed journal. Articles will be limited to six journal pages (13 double-space typed pages) including references and figures. Apart from the six-page limitation, originality, quality and clarity will be the criteria for choosing the material to be published in Statistics & Probability Letters. Every attempt will be made to provide the first review of a submitted manuscript within three months of submission. The proliferation of literature and long publication delays have made it difficult for researchers and practitioners to keep up with new developments outside of, or even within, their specialization. The aim of Statistics & Probability Letters is to help to alleviate this problem. Concise communications (letters) allow readers to quickly and easily digest large amounts of material and to stay up-to-date with developments in all areas of statistics and probability. The mainstream of Letters will focus on new statistical methods, theoretical results, and innovative applications of statistics and probability to other scientific disciplines. Key results and central ideas must be presented in a clear and concise manner. These results may be part of a larger study that the author will submit at a later time as a full length paper to SPL or to another journal. Theory and methodology may be published with proofs omitted, or only sketched, but only if sufficient support material is provided so that the findings can be verified. Empirical and computational results that are of significant value will be published.