American Fractional Lookback Options: Valuation and Premium Decomposition

DOI10.1137/090771831zbMath1229.91312OpenAlexW2028356063MaRDI QIDQ3019995

Toshikazu Kimura

Publication date: 29 July 2011

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/807645aeb9e9625da4a3432c2f2ec50da40b85d7

zbMATH Keywords

Laplace transformsvaluationfloating strikeAmerican lookback optionsfractional lookback

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods ⋮ A fast numerical method for the valuation of American lookback put options ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ Unnamed Item ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

This page was built for publication: American Fractional Lookback Options: Valuation and Premium Decomposition