On the lookback option with fixed strike

DOI10.1080/17442508.2013.837908zbMath1294.91174OpenAlexW1992413837MaRDI QIDQ2875280

Yerkin Kitapbayev

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.837908

zbMATH Keywords

optimal stoppingfinite horizonnonlinear integral equationchange of measurefixed strikeAmerican lookback option

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (1)

The British Lookback Option with Fixed Strike

Cites Work

• Unnamed Item
• Optimal stopping of the maximum process: The maximality principle
• The Russian option: Reduced regret
• Discounted optimal stopping for maxima in diffusion models with finite horizon
• The Russian option: finite horizon
• A change-of-variable formula with local time on curves
• Discounted optimal stopping problems for the maximum process
• A Change-of-Variable Formula with Local Time on Surfaces
• ON THE AMERICAN OPTION PROBLEM

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