A stochastic approximation algorithm for American lookback put options
DOI10.1080/07362994.2010.503473zbMATH Open1216.93113OpenAlexW2080785574MaRDI QIDQ3168708FDOQ3168708
Authors: Zhenhua Zhang, G. Yin, Zhian Liang 
Publication date: 19 April 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2010.503473
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Diffusion processes (60J60) Portfolio theory (91G10) Continuous-time Markov processes on general state spaces (60J25) Asymptotic expansions of solutions to ordinary differential equations (34E05)
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- Computational methods for pricing American put options
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Cited In (6)
- Computational methods for pricing American put options
- Title not available (Why is that?)
- Stochastic optimization algorithms for pricing American put options under regime-switching models
- Lookback option pricing for regime-switching jump diffusion models
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- A stochastic approximation algorithm for option pricing model calibration with a switchable market
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