A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model

DOI10.1017/S0269964818000311MaRDI QIDQ5050867zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic behavioroptimal stopping problemfundamental solutionsmixed jump-diffusion fractional Brownian motionWick-Itô-Skorohod integral

Mathematics Subject Classification ID

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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Cited in

(3)

• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
• Critical exercise price for American floating strike lookback option in a mixed jump-diffusion model
• American fractional lookback options: valuation and premium decomposition

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