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Lookback option pricing problem of uncertain mean-reverting currency model

Abstract

A lookback option is a maturity option that pays off based on the maximum or minimum stock price over the life of the option. This paper investigates the problem of pricing a lookback option based on the uncertain mean-reverting currency model and designs the algorithms to calculate the formulations. Furthermore, discussions about parameters and results are drawn in the paper.

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Acknowledgements

This research was funded by Ph.d Scientific Research Foundation of Liaocheng University (No. 321052022 and 318051913), Natural Science Foundation of Shandong Province (No. ZR2020MA026) and National Social Science Foundation of China (No. 20BJY074).

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Correspondence to Yang Liu.

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Liu, Y., Liu, L. Lookback option pricing problem of uncertain mean-reverting currency model. Soft Comput 25, 14785–14795 (2021). https://doi.org/10.1007/s00500-021-06214-1

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Keywords

  • Uncertainty theory
  • Uncertain differential equation
  • Lookback option pricing
  • Currency model