Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Soft Computing
Published in: Soft Computing 14/2019

10-05-2018 | Methodologies and Application

Lookback options pricing for uncertain financial market

Authors: Zhiqiang Zhang, Hua Ke, Weiqi Liu

Published in: Soft Computing | Issue 14/2019

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

Lookback options are among the most popular path-dependent options in financial market. In this paper, the option pricing problem of lookback options is investigated under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process instead of stochastic differential equation, and the lookback options pricing formulae are derived under this assumption. Several numerical examples are also discussed to illustrate the pricing formula.
previous article A Tabu Search implementation for adaptive localization in ensemble-based methods
next article A fuzzy-PSO system for indoor localization based on visible light communications

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

inform now
Literature
Chen XW (2011) American option pricing formula for uncertain financial market. Int J Oper Res 8(2):32–37MathSciNet
Chen XW, Gao J (2013) Uncertain term structure model of interest rate. Soft Comput 17(4):597–604CrossRefMATH
Conze A, Viswanathan R (1991) Path dependent options: the case of lookback options. J Finance 46:1893–1907CrossRef
Goldman MB, Sosin HB, Gatto MA (1979) Path dependent options: buy at the low, sell at the high. J Finance 34:1111–1127
Heynen RC, Kat HM (1995) Lookback options with discrete and partial monitoring of the underlying price. Appl Math Finance 2:273–284CrossRef
Liu B (2009) Some research problems in uncertainty theory. J Uncertain Syst 3(1):3–10
Liu B (2010) Uncertainty theory: a branch of mathematics for modeling human uncertainty. Springer, BerlinCrossRef
Liu YH, Ha MH (2010) Expected value of function of uncertain variables. J Uncertain Syst 4(3):181–186
Liu YH, Chen XW, Ralescu DA (2015) Uncertain currency model and currency option pricing. Int J Intell Syst 30:40–51CrossRef
Longstaff FA (1995) How much can marketability affect security values? J Finance 50:1767–1774CrossRef
Peng J, Yao K (2011) A new option pricing model for stocks in uncertainty markets. Int J Oper Res 8(2):18–26MathSciNet
Wong HY, Kwok YK (2003) Sub-replication and replenishing premium: efficient pricing of multi-state lookbacks. Rev Deriv Res 6:83–106CrossRefMATH
Yao K (2012) No-arbitrage determinant theorems on mean-reverting stock model in uncertain market. Knowl Based Syst 35:259–263CrossRef
Yao K (2013) Extreme values and integral of solution of uncertain differential equation. J Uncertain Anal Appl 1:2CrossRef
Yao K, Chen XW (2013) A numerical method for solving uncertain differential equations. J Intell Fuzzy Syst 25(3):825–832MathSciNetMATH
Zhang ZQ, Liu WQ (2014) Geometric average Asian option pricing for uncertain financial market. J Uncertain Syst 8(4):317–320
Zhang ZQ, Ralescu DA, Liu WQ (2016) Valuation of interest rate ceiling and floor in uncertain financial market. Fuzzy Optim Decis 15(2):139–154MathSciNetCrossRefMATH
Zhang ZQ, Liu WQ, Zhang XD (2017b) Valuation of convertible bond under uncertain mean-reverting stock model. J Amb Intel Hum Comput 8(5):641–650CrossRef
Metadata
Title
Lookback options pricing for uncertain financial market
Authors
Zhiqiang Zhang
Hua Ke
Weiqi Liu
Publication date
10-05-2018
Publisher
Springer Berlin Heidelberg
Published in
Soft Computing / Issue 14/2019
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-018-3211-0

Other articles of this Issue 14/2019

Soft Computing 14/2019 Go to the issue

Methodologies and Application

State estimation of nonlinear dynamic system using novel heuristic filter based on genetic algorithm

Methodologies and Application

An approach using Dempster–Shafer evidence theory to fuse multi-source observations for dam safety estimation

Methodologies and Application

Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise

Methodologies and Application

An approach of fuzzy and TOPSIS to bi-level multi-objective nonlinear fractional programming problem

Foundations

Novel classes of fuzzy soft -coverings-based fuzzy rough sets with applications to multi-criteria fuzzy group decision making

Methodologies and Application

Distance and similarity measures of hesitant fuzzy sets based on Hausdorff metric with applications to multi-criteria decision making and clustering

Premium Partner

    Image Credits