The British Lookback Option with Fixed Strike

DOI10.1080/1350486X.2015.1019156zbMath1396.91742MaRDI QIDQ4682481

Yerkin Kitapbayev

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingnonlinear integral equationgeometric Brownian motionparabolic free boundary problemlocal time-space calculusfixed strikeAmerican lookback optionarbitrage-free priceBritish lookback option with fixed strike

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

THE BRITISH ASSET-OR-NOTHING PUT OPTION

Cites Work

• Unnamed Item
• The trap of complacency in predicting the maximum
• 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
• On the lookback option with fixed strike
• The British Put Option
• The British Russian Option
• The British Asian Option
• A Change-of-Variable Formula with Local Time on Surfaces
• The British call option

This page was built for publication: The British Lookback Option with Fixed Strike