On the lookback option with fixed strike
From MaRDI portal
Publication:2875280
DOI10.1080/17442508.2013.837908zbMath1294.91174MaRDI QIDQ2875280
Publication date: 14 August 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2013.837908
optimal stopping; finite horizon; nonlinear integral equation; change of measure; fixed strike; American lookback option
45G10: Other nonlinear integral equations
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91G20: Derivative securities (option pricing, hedging, etc.)
35R35: Free boundary problems for PDEs
Related Items
Cites Work
- Unnamed Item
- Optimal stopping of the maximum process: The maximality principle
- The Russian option: Reduced regret
- Discounted optimal stopping for maxima in diffusion models with finite horizon
- The Russian option: finite horizon
- A change-of-variable formula with local time on curves
- Discounted optimal stopping problems for the maximum process
- A Change-of-Variable Formula with Local Time on Surfaces
- ON THE AMERICAN OPTION PROBLEM