American Options with Lookback Payoff
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Publication:5700590
DOI10.1137/S0036139903437345zbMath1170.91375OpenAlexW3123504662WikidataQ60148456 ScholiaQ60148456MaRDI QIDQ5700590
Publication date: 28 October 2005
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036139903437345
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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