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The British Lookback Option with Fixed Strike - MaRDI portal

The British Lookback Option with Fixed Strike (Q4682481)

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scientific article; zbMATH DE number 6938627
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English
The British Lookback Option with Fixed Strike
scientific article; zbMATH DE number 6938627

    Statements

    title
    The British Lookback Option with Fixed Strike (English)
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    author
    Yerkin Kitapbayev
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    publication date
    18 September 2018
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    60J70
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    zbMATH DE Number
    6938627
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    zbMATH Keywords
    British lookback option with fixed strike
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    American lookback option
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    arbitrage-free price
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    fixed strike
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    optimal stopping
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    geometric Brownian motion
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    parabolic free boundary problem
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    local time-space calculus
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    nonlinear integral equation
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