American lookback option with fixed strike price-2-D parabolic variational inequality
DOI10.1016/J.JDE.2011.07.027zbMATH Open1230.91174OpenAlexW2083207970MaRDI QIDQ640996FDOQ640996
Authors: Lihe Wang, Xiao Shan Chen, Fahuai Yi 
Publication date: 21 October 2011
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2011.07.027
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Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
Cites Work
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- On the theory of option pricing
- Binomial valuation of lookback options
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
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- Early exercise policies of American floating strike and fixed strike lookback options.
- American Options with Lookback Payoff
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- The Stefan Problem in Several Space Variables
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- On a two-phase continuous casting Stefan problem with nonlinear flux
- The \(C^{\alpha}\) regularity of a class of non-homogeneous ultraparabolic equations
- A modified binomial tree method for currency lookback options
- Exercise Regions And Efficient Valuation Of American Lookback Options
Cited In (9)
- The existence of a solution to a class of degenerate parabolic variational inequalities
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
- Valuation of American strangle option: variational inequality approach
- Some results for a \(p(x)\)-Kirchhoff type variation-inequality problems in non-divergence form
- The price of a lookback option as the solution of a boundary-value problem for the heat equation
- Weak solution of non-Newtonian polytropic variational inequality in fresh agricultural product supply chain problem
- Study of weak solutions for degenerate parabolic inequalities with nonstandard conditions
- Study of weak solutions for parabolic variational inequalities with nonstandard growth conditions
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