英文标题：
《An exact and explicit formula for pricing lookback options with regime
switching》
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作者：
Leunglung Chan and Song-Ping Zhu
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最新提交年份：
2014
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英文摘要：
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy described by a continuous-time hidden Markov chain process. We derive an exact, explicit and closed-form solution for European-style lookback options in a two-state regime switching model.
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中文摘要：
本文研究了当标的风险资产的价格动态服从马尔可夫调制的几何布朗运动时，欧式回望期权的定价问题；也就是说，基础风险资产的升值率和波动性取决于由连续时间隐马尔可夫链过程描述的经济的不可观测状态。在一个两国政权转换模型中，我们推导了欧式回望期权的精确、显式和封闭形式的解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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