American fractional lookback options: valuation and premium decomposition

DOI10.1137/090771831MaRDI QIDQ3019995zbMATH OpenOpenAlexFDO

Authors Toshikazu Kimura

Publication date 29 July 2011

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/807645aeb9e9625da4a3432c2f2ec50da40b85d7

zbMATH Keywords

Laplace transformsvaluationfloating strikeAmerican lookback optionsfractional lookback

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(11)

• An integral equation representation approach for valuing Russian options with a finite time horizon
• Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
• A fast numerical method for the valuation of American lookback put options
• Pricing American lookback options under a stochastic volatility model
• Exercise Regions And Efficient Valuation Of American Lookback Options
• Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
• American Options with Lookback Payoff
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Analytic solution for American strangle options using Laplace-Carson transforms
• The value of being lucky: option backdating and nondiversifiable risk
• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

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