American fractional lookback options: valuation and premium decomposition

DOI10.1137/090771831zbMATH Open1229.91312OpenAlexW2028356063MaRDI QIDQ3019995FDOQ3019995

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

Recommendations

• Exercise Regions And Efficient Valuation Of American Lookback Options
• American Options with Lookback Payoff
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
• Analytical Approximate Solutions to American Barrier and Lookback Option Values

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)

Cited In (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

This page was built for publication: American fractional lookback options: valuation and premium decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3019995)