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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한수학회 대한수학회보 대한수학회보 제60권 제2호
- 발행연도
- 2023.3
- 수록면
- 361 - 388 (28page)
- DOI
- 10.4134/BKMS.b220134
이용수
초록· 키워드
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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.~\cite{fouque2011} 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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