Abstract
A lookback option is an exotic option that allows investors to “look back” at the underlying prices occurring over the life of the option, and exercises the right at asset’s optimal point. This paper mainly investigates the lookback call and put option pricing formulas based on the uncertain exponential Ornstein–Uhlenbeck model and designs the algorithms to calculate those prices numerically. Several numerical examples are given to illustrate the effectiveness of the proposed model.
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