Path-dependent game options: a lookback case
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Publication:2447511
DOI10.1007/s11147-013-9092-6zbMath1285.91127OpenAlexW2013263517MaRDI QIDQ2447511
Xicai Guo, Qihong Chen, Peidong Guo, Yue Fang
Publication date: 25 April 2014
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-013-9092-6
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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Path-dependent game options with Asian features, Perpetual cancellable American options with convertible features
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