Finite Difference Approximation for Pricing the American Lookback Option
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Publication:5901000
DOI10.4208/JCM.2009.27.4.015zbMath1212.65345OpenAlexW2076865563MaRDI QIDQ5901000
Tie Zhang, Shuhua Zhang, Danmei Zhu
Publication date: 8 July 2010
Published in: Journal of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/jcm.2009.27.4.015
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Auctions, bargaining, bidding and selling, and other market models (91B26)
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Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment ⋮ A fast numerical method for the valuation of American lookback put options ⋮ An efficient numerical method for the valuation of American multi-asset options
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