Pricing perpetual American floating strike lookback option...

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model

Deng, Guohe
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Volume:
141
Journal:
Chaos, Solitons & Fractals
DOI:
10.1016/j.chaos.2020.110411
Date:
December, 2020
File:
PDF, 826 KB
2020
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