On the lookback option with fixed strike

DOI10.1080/17442508.2013.837908MaRDI QIDQ2875280zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• A Change-of-Variable Formula with Local Time on Surfaces
• A change-of-variable formula with local time on curves
• Discounted optimal stopping for maxima in diffusion models with finite horizon
• Discounted optimal stopping problems for the maximum process
• ON THE AMERICAN OPTION PROBLEM
• Optimal stopping of the maximum process: The maximality principle
• The Russian option: Reduced regret
• The Russian option: finite horizon

Cited in

(5)

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

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