2007•Unpublished venueRequires access
Pricing lookback options on the stocks driven by exponential Ornstein-Uhlenback process
Xiangqun Yang
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Abstract
In this paper,we discuss the problem of pricing call options on a continuous maximum and the options on a continuous minimum of stocks driven by Ornstein-Uhlenback process are discussed.Under the stochastic model of exponential Ornstein-Uhlenback process,the pricing formulas of lookback options with fixed strike prices are obtained by the martingale approaches.