QUANTO LOOKBACK OPTIONS

DOI10.1111/j.0960-1627.2004.00199.xzbMath1134.91408OpenAlexW3123967677WikidataQ58981140 ScholiaQ58981140MaRDI QIDQ4673851

Min Dai, Hoi Ying Wong, Yue Kuen Kwok

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00199.x

zbMATH Keywords

American lookback optionsEuropean lookback optionsricing models

Mathematics Subject Classification ID

Related Items (15)

A real option approach to optimal inventory management of retail products ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Pricing vulnerable path-dependent options using integral transforms ⋮ Closed-form pricing formula for foreign equity option with credit risk ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Valuing of timer path-dependent options ⋮ Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk ⋮ Unnamed Item ⋮ Option pricing formulas in a new uncertain mean-reverting stock model with floating interest rate ⋮ Matching asymptotics in path-dependent option pricing ⋮ \((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions ⋮ Pricing of fixed-strike lookback options on assets with default risk ⋮ Lookback options pricing for uncertain financial market ⋮ Lookback option pricing problem of uncertain mean-reverting currency model ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Cites Work

• Early exercise policies of American floating strike and fixed strike lookback options.
• Exercise regions of American options on several assets
• Double Lookbacks
• Exercise Regions And Efficient Valuation Of American Lookback Options

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