A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
DOI10.1017/S0269964818000311zbMATH Open1505.91394OpenAlexW2890970890MaRDI QIDQ5050867FDOQ5050867
Authors: Zhaoqiang Yang 
Publication date: 18 November 2022
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964818000311
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asymptotic behavioroptimal stopping problemfundamental solutionsmixed jump-diffusion fractional Brownian motionWick-Itô-Skorohod integral
Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Title not available (Why is that?)
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
- Pricing vulnerable American put options under jump-diffusion processes
Cited In (3)
- Critical exercise price for American floating strike lookback option in a mixed jump-diffusion model
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
- American fractional lookback options: valuation and premium decomposition
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