Exercise Regions And Efficient Valuation Of American Lookback Options
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Cites work
- Analytical valuation of American-style Asian options
- Binomial valuation of lookback options
- Connecting discrete and continuous path-dependent options
- Corrected random walk approximations to free boundary problems in optimal stopping
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- Monte Carlo methods for security pricing
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- The valuation of American barrier options using the decomposition technique
Cited in
(20)- Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- A fast numerical method for the valuation of American lookback put options
- An integral equation representation approach for valuing Russian options with a finite time horizon
- American fractional lookback options: valuation and premium decomposition
- Optimal redeeming strategy of stock loans with finite maturity
- The British Russian Option
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- On the American Option Value Near its Exercise Region
- scientific article; zbMATH DE number 1735427 (Why is no real title available?)
- scientific article; zbMATH DE number 1069633 (Why is no real title available?)
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- QUANTO LOOKBACK OPTIONS
- The value of being lucky: option backdating and nondiversifiable risk
- A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
- American Options with Lookback Payoff
- American lookback option with fixed strike price-2-D parabolic variational inequality
- Valuation of American maximum exchange rate quanto lookback options
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