대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제60권2호
  • /
  • Pages.361-388
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  • 2023
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  • 1015-8634(pISSN)
  • /
  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
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PRICING AMERICAN LOOKBACK OPTIONS UNDER A STOCHASTIC VOLATILITY MODEL

  • Donghyun Kim (Department of Mathematics Pusan National University) ;
  • Junhui Woo (Department of Mathematics Pusan National University) ;
  • Ji-Hun Yoon (Department of Mathematics Pusan National University)
  • 투고 : 2022.02.19
  • 심사 : 2022.05.02
  • 발행 : 2023.03.31
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초록

In this study, we deal with American lookback option prices on dividend-paying assets under a stochastic volatility (SV) model. By using the asymptotic analysis introduced by Fouque et al. [17] and the Laplace-Carson transform (LCT), we derive the explicit formula for the option prices and the free boundary values with a finite expiration whose volatility is driven by a fast mean-reverting Ornstein-Uhlenbeck process. In addition, we examine the numerical implications of the SV on the American lookback option with respect to the model parameters and verify that the obtained explicit analytical option price has been obtained accurately and efficiently in comparison with the price obtained from the Monte-Carlo simulation.

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과제정보

The research of J.-H. Yoon was supported by the National Research Foundation of Korea grants funded by the Korean government (NRF-2019R1A2C108931011).

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