CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS

DOI10.1111/j.1467-9965.2006.00261.xzbMath1128.91021WikidataQ60148457 ScholiaQ60148457MaRDI QIDQ5472777

Min Dai, Yue Kuen Kwok

Publication date: 12 June 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00261.x

zbMATH Keywords

monotonicity properties; Asian feature; lookback feature

Mathematics Subject Classification ID

Related Items

The obstacle problem for a class of hypoelliptic ultraparabolic equations, Free boundary and optimal stopping problems for American Asian options, Accurate and efficient lattice algorithms for American-style Asian options with range bounds

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