Early exercise policies of American floating strike and fixed strike lookback options.
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Publication:1875506
DOI10.1016/S0362-546X(01)00572-7zbMath1042.91533OpenAlexW2011594500WikidataQ127629804 ScholiaQ127629804MaRDI QIDQ1875506
Yue Kuen Kwok, Hong Yu, Lixin Wu
Publication date: 26 August 2004
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(01)00572-7
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A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Pricing of American lookback spread options ⋮ A fast numerical method for the valuation of American lookback put options ⋮ American lookback option with fixed strike price-2-D parabolic variational inequality ⋮ Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment ⋮ QUANTO LOOKBACK OPTIONS
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