Pricing of American lookback spread options

DOI10.1016/j.spa.2020.05.012zbMath1455.60066OpenAlexW3028423148MaRDI QIDQ2196549

Min Hyeok Woo, Geon Ho Choe

Publication date: 3 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2020.05.012

zbMATH Keywords

optimal stoppingAmerican optionlookback spread optionmaximum and minimum processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• \(\pi \) options
• The Russian option: Reduced regret
• Arbitrage pricing of Russian options and perpetual lookback options
• Early exercise policies of American floating strike and fixed strike lookback options.
• An integral equation representation approach for valuing Russian options with a finite time horizon
• The Russian option: finite horizon
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• Russian options with a finite time horizon
• A Change-of-Variable Formula with Local Time on Surfaces
• American Options with Lookback Payoff

This page was built for publication: Pricing of American lookback spread options