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Lookback options pricing model based on uncertain fractional differential equation
[post]
2022
unpublished
Preserved Fulltext
Uncertain fractional differential equation is an excellent tool for modelling the uncertain dynamic process of stock price. This paper focuses on pricing lookback options, presents the fixed strike and floating strike lookback options pricing formulas for uncertain fractional differential equation with geometric canonical process and mean-reverting process, respectively. Besides, some numerical examples are also illustrated with respect to different fractional order.
doi:10.21203/rs.3.rs-263591/v1
fatcat:r5vsxpj6lrbmnfsqvfzw2dvn44