CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS

DOI10.1111/j.1467-9965.2006.00261.xzbMath1128.91021OpenAlexW2008207386WikidataQ60148457 ScholiaQ60148457MaRDI QIDQ5472777

Yue Kuen Kwok, Min Dai

Publication date: 12 June 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00261.x

zbMATH Keywords

monotonicity propertiesAsian featurelookback feature

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Variational inequalities and the pricing of American options
• Analysis of pricing American options on the maximum (minimum) of two risk assets
• The simplest normal forms associated with a triple zero eigenvalue of indices one and two.
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• Analytical Valuation of American-Style Asian Options
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• On the Valuation of Asian Options by Variational Methods
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Exercise Regions And Efficient Valuation Of American Lookback Options
• Option pricing: A simplified approach
• American Options with Lookback Payoff

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