A Stochastic Approximation Algorithm for American Lookback Put Options

DOI10.1080/07362994.2010.503473zbMath1216.93113MaRDI QIDQ3168708

Zhen-hua Zhang, G. George Yin, Zhi-An 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

zbMATH Keywords

weak convergence; stochastic approximation; lookback option; regime-switching diffusion; mollifier

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60J60: Diffusion processes

34E05: Asymptotic expansions of solutions to ordinary differential equations

91G10: Portfolio theory

Related Items

Lookback option pricing for regime-switching jump diffusion models

Cites Work

• Uniform asymptotic expansions for pricing European options
• Computational methods for pricing American put options
• Hybrid switching diffusions. Properties and applications
• The simplest normal forms associated with a triple zero eigenvalue of indices one and two.
• Stock Trading: An Optimal Selling Rule
• AMERICAN OPTIONS WITH REGIME SWITCHING
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Option pricing: A simplified approach
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