讲座 | An Analytic Pricing Formula for Lookback Options under Stochastic Volatility
主讲人: 梁贵新博士, DST
时间: 2013年四月10日（星期三），下午2:00
地点: E202
摘要:
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.