A fast numerical method for the valuation of American lookback put options
From MaRDI portal
Publication:2198448
Recommendations
- Finite element method for valuation of American lookback options
- scientific article; zbMATH DE number 6453569
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- An efficient numerical method for the valuation of American multi-asset options
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
Cites work
- scientific article; zbMATH DE number 1810265 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A class of projection and contraction methods for monotone variational inequalities
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- A modified binomial tree method for currency lookback options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- American Options with Lookback Payoff
- American fractional lookback options: valuation and premium decomposition
- An exact and explicit solution for the valuation of American put options
- Binomial valuation of lookback options
- Convergence of European lookback options with floating strike in the binomial model
- Convergence of numerical methods for valuing path-dependent options using interpolation
- Early exercise policies of American floating strike and fixed strike lookback options.
- Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
- Exercise Regions And Efficient Valuation Of American Lookback Options
- Finite difference approximation for pricing the American lookback option
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Mathematical models of financial derivatives
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Pricing Options Using Lattice Rules
- Simulation of European lookback options
- The pricing of options and corporate liabilities
- Weak Galerkin finite element method for valuation of American options
Cited in
(9)- Finite element method for valuation of American lookback options
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- An efficient numerical method for the valuation of American multi-asset options
- Primal-dual active set method for pricing American better-of option on two assets
- Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- scientific article; zbMATH DE number 1222777 (Why is no real title available?)
- Adaptive neural network surrogate model for solving the implied volatility of time-dependent American option via Bayesian inference
This page was built for publication: A fast numerical method for the valuation of American lookback put options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2198448)
