On the lookback option with fixed strike

DOI10.1080/17442508.2013.837908zbMATH Open1294.91174OpenAlexW1992413837MaRDI QIDQ2875280FDOQ2875280

Authors: Yerkin Kitapbayev 

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

Recommendations

• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Pricing of American lookback spread options
• The price of a lookback option as the solution of a boundary-value problem for the heat equation
• Discounted optimal stopping for maxima in diffusion models with finite horizon
• American Options with Lookback Payoff

zbMATH Keywords

change of measureoptimal stoppingnonlinear integral equationfinite horizonfixed strikeAmerican lookback option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Optimal stopping of the maximum process: The maximality principle
• A change-of-variable formula with local time on curves
• Title not available (Why is that?)
• The Russian option: Reduced regret
• Discounted optimal stopping problems for the maximum process
• A Change-of-Variable Formula with Local Time on Surfaces
• The Russian option: finite horizon
• ON THE AMERICAN OPTION PROBLEM
• Discounted optimal stopping for maxima in diffusion models with finite horizon

Cited In (5)

• Stopping at the maximum of geometric Brownian motion when signals are received
• The British lookback option with fixed strike
• Outside barrier lookback options with floating strike
• Pricing of American lookback spread options
• The price of a lookback option as the solution of a boundary-value problem for the heat equation

This page was built for publication: On the lookback option with fixed strike

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2875280)