American Options with Lookback Payoff

DOI10.1137/S0036139903437345MaRDI QIDQ5700590zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Min Dai, Yue Kuen Kwok

Publication date 28 October 2005

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0036139903437345

zbMATH Keywords

American featurefree boundary problemslookback optionstwo-asset minimum put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• Pricing American lookback options under a stochastic volatility model
• Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• American lookback option with fixed strike price-2-D parabolic variational inequality
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Valuation of American maximum exchange rate quanto lookback options
• Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
• Third order approximation to the price of perpetual American lookback option with a mean-reverting stochastic volatility
• Neural optimal stopping boundary

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