CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
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Cites work
- A dynamic programming procedure for pricing American-style Asian options
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- American Options with Lookback Payoff
- Analysis of pricing American options on the maximum (minimum) of two risk assets
- Analytical valuation of American options on jump-diffusion processes.
- Analytical valuation of American-style Asian options
- ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Exercise Regions And Efficient Valuation Of American Lookback Options
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- On the Valuation of Asian Options by Variational Methods
- Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
- Option pricing: A simplified approach
- The simplest normal forms associated with a triple zero eigenvalue of indices one and two.
- Variational inequalities and the pricing of American options
Cited in
(17)- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- An optimal stopping problem for jump diffusion logistic population model
- Pricing American drawdown options under Markov models
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Optimal stock selling/buying strategy with reference to the ultimate average
- Watermark options
- Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- American Options with Lookback Payoff
- Pricing American lookback options under a stochastic volatility model
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- An optimal retirement problem with job switching and unemployment risks under subsistence consumption constraints
- Lookback option pricing for regime-switching jump diffusion models
- Free boundary and optimal stopping problems for American Asian options
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