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Pricing formulas of barrier-lookback option in uncertain financial markets

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  • Gao, Yin
  • Jia, Lifen

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.

Suggested Citation

  • Gao, Yin & Jia, Lifen, 2021. "Pricing formulas of barrier-lookback option in uncertain financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
    • Handle: RePEc:eee:chsofr:v:147:y:2021:i:c:s0960077921003404
    DOI: 10.1016/j.chaos.2021.110986
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    References listed on IDEAS

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    Cited by:

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    3. Liu, Yang & Lio, Waichon, 2024. "Power option pricing problem of uncertain exponential Ornstein–Uhlenbeck model," Chaos, Solitons & Fractals, Elsevier, vol. 178(C).

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