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q-fin.CP2021★ 1 cited
A General Approach for Lookback Option Pricing under Markov Models
Gongqiu Zhang, Lingfei Li
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integra…
q-fin.CP2021
A General Approach for Parisian Stopping Times under Markov Processes
Gongqiu Zhang, Lingfei Li
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensio…