CEV过程下回顾期权的定价问题研究

Pricing lookback option under CEV process

讨论了当基础资产遵循不变方差弹性 (CEV)过程时回顾期权的定价问题 .通过构建一个三项式模型对CEV过程进行近似化处理并利用其为回顾期权进行定价 .发现当资产价格服从 CEV过程时 。

This paper discusses the pricing of lookback options when the underlying asset follows the constant elasticity of variance (CEV) process. It constructes a trinomial method to approximate the CEV process and use it to price lookback options. It is finded, for lookback options, that the technique proposed by Babbs for the lognormal case can be modified to value laokback when the asset price follows the CEV process.