An Analytic Pricing Formula for Lookback Options under Stochastic Volatility

Speaker: Dr. Phillip Leung, Financial Mathematics Programme, DST.

Time: 2:00 pm, April, 10, 2013

Venue: E202

Abstract:

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¨Ccall parity relation for lookback options.