Pricing of American lookback spread options
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Publication:2196549
DOI10.1016/j.spa.2020.05.012zbMath1455.60066OpenAlexW3028423148MaRDI QIDQ2196549
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
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- \(\pi \) options
- The Russian option: Reduced regret
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- 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
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