On the lookback option with fixed strike
type: Item
instance of: scholarly article
title: On the lookback option with fixed strike
zbMATH Open document ID: 1294.91174
DOI: 10.1080/17442508.2013.837908
author: Yerkin Kitapbayev
published in: Stochastics
publication date: 2014-08-14T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 45G10
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 6330213
zbMATH Keywords: American lookback option
zbMATH Keywords: fixed strike
zbMATH Keywords: optimal stopping
zbMATH Keywords: finite horizon
zbMATH Keywords: nonlinear integral equation
zbMATH Keywords: change of measure
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/17442508.2013.837908
OpenAlex ID: W1992413837
cites work: Discounted optimal stopping for maxima in diffusion models with finite horizon
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cites work: ON THE AMERICAN OPTION PROBLEM
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cites work: Q3378055
cites work: The Russian option: Reduced regret
reviewed by: Johannes Muhle-Karbe
description: scientific article; zbMATH DE number 6330213