Exercise Regions And Efficient Valuation Of American Lookback Options

DOI10.1111/J.0960-1627.2004.00191.XzbMATH Open1090.91043OpenAlexW3125233838MaRDI QIDQ4827313FDOQ4827313

Authors: Tze Leung Lai, Tiong Wee Lim 

Publication date: 16 November 2004

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00191.x

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Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Monte Carlo methods for security pricing
• Binomial valuation of lookback options
• Option pricing: A simplified approach
• Connecting discrete and continuous path-dependent options
• The valuation of American barrier options using the decomposition technique
• Random walk duality and the valuation of discrete lookback options
• Analytical valuation of American-style Asian options
• Corrected random walk approximations to free boundary problems in optimal stopping

Cited In (18)

• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• On the American Option Value Near its Exercise Region
• An integral equation representation approach for valuing Russian options with a finite time horizon
• A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• American lookback option with fixed strike price-2-D parabolic variational inequality
• A fast numerical method for the valuation of American lookback put options
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• QUANTO LOOKBACK OPTIONS
• Title not available (Why is that?)
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• American Options with Lookback Payoff
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Optimal redeeming strategy of stock loans with finite maturity
• The value of being lucky: option backdating and nondiversifiable risk
• The British Russian Option
• American fractional lookback options: valuation and premium decomposition

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