We propose a partial integro-differential equation (PIDE) and a closed-form pricing formula for floating type look-back option when stock price follows exponential Levy process. We first develope a PIDE based on martingale method and from there derive a closed-form formula for pricing contracts....

We propose a PIDE and closed-form Fourier Pricing formula for floating type Look-back option when stock price follows exponential Lévy Process. We first developed a PIDE based on Martingale method and derived a closed-form Fourier formula for pricing contracts. The formula is simple, easy to...

We propose a stochastic model to develop a pricing partial integro-differential equation (PIDE) and its Fourier transform expression for floating Asian options based on the It\^o-L\'evy calculus. The stock price is driven by a class of infinite activity L\'evy processes leading to the market...

We propose a stochastic model to develop a partial integro-differential equation (PIDE) for pricing and pricing expression for fixed type single Barrier options based on the Itô-Lévy calculus with the help of Mellin transform. The stock price is driven by a class of infinite activity Lévy...