Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation

DOI10.1016/j.cam.2016.09.020zbMath1354.35162OpenAlexW2526823542MaRDI QIDQ344266

Heejae Han, Junkee Jeon, Myungjoo Kang

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.020

zbMATH Keywords

Mellin transformintegral equationfree boundary problemNeumann problemAmerican floating strike lookback optionperpetual American floating strike lookback option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10) Free boundary problems for PDEs (35R35) Numerical methods for ill-posed problems for integral equations (65R30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Traveling-wave solutions of a generalized damped wave equation with time-dependent coefficients through the trial equation method ⋮ Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ Pricing of American lookback spread options ⋮ An integral equation approach for optimal investment policies with partial reversibility ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints

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