Pricing of American lookback spread options

DOI10.1016/J.SPA.2020.05.012MaRDI QIDQ2196549zbMATH OpenOpenAlexFDO

Authors 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

American optionlookback spread optionmaximum and minimum processesoptimal stopping

Mathematics Subject Classification ID

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

Recommendations

• American Options with Lookback Payoff
• Perpetual American double lookback options on drawdowns and drawups with floating strikes
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Cites work

• \(\pi \) options
• A Change-of-Variable Formula with Local Time on Surfaces
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• American Options with Lookback Payoff
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Arbitrage pricing of Russian options and perpetual lookback options
• Early exercise policies of American floating strike and fixed strike lookback options.
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1183917 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 796441 (Why is no real title available?)
• Russian options with a finite time horizon
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• The Russian option: finite horizon
• The Russian option: Reduced regret
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation

Cited in

(6)

• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• Perpetual American double lookback options on drawdowns and drawups with floating strikes
• On the lookback option with fixed strike
• scientific article; zbMATH DE number 2015807 (Why is no real title available?)
• American Options with Lookback Payoff
• Optimal insurance design for business interruption insurance with cancellation feature

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