| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1708265 | Applied Mathematics Letters | 2013 | 5 Pages |
Abstract
In this work, an analytic pricing formula for floating strike lookback options under Heston’s stochastic volatility model is derived by means of the homotopy analysis method. The fixed strike lookback options can then be priced on the basis of the results of floating strike and the put–call parity relation for lookback options.
Related Topics
Physical Sciences and Engineering
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Computational Mechanics
Authors
Kwai Sun Leung,