Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
type: Item
instance of: scholarly article
title: Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
zbMATH Open document ID: 1354.35162
author: Junkee Jeon
author: Heejae Han
author: Myungjoo Kang
published in: Journal of Computational and Applied Mathematics
publication date: 2016-11-22T00:00:00Z
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 65R10
Mathematics Subject Classification ID: 65R30
zbMATH DE Number: 6655201
zbMATH Keywords: free boundary problem
zbMATH Keywords: integral equation
zbMATH Keywords: American floating strike lookback option
zbMATH Keywords: perpetual American floating strike lookback option
zbMATH Keywords: Neumann problem
zbMATH Keywords: Mellin transform
MaRDI profile type: Publication
full work available at URL: j.cam.2016.09.020
OpenAlex ID: W2526823542
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DOI: 10.1016/J.CAM.2016.09.020
description: scientific article; zbMATH DE number 6655201