Characterization Of Optimal Stopping Regions Of American Asian And Lookback Options
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DOI: 10.1111/j.1467-9965.2006.00261.x
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References listed on IDEAS
- Tze Leung Lai & Tiong Wee Lim, 2004. "Exercise Regions And Efficient Valuation Of American Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 249-269, April.
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Computing in Economics and Finance 2003
39, Society for Computational Economics.
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Citations
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Cited by:
- Mariotti, Thomas & Décamps, Jean-Paul & Gensbittel, Fabien, 2021.
"Investment Timing and Technological Breakthrough,"
CEPR Discussion Papers
16246, C.E.P.R. Discussion Papers.
- Décamps, Jean-Paul & Gensbittel, Fabien & Mariotti, Thomas, 2021. "Investment Timing and Technological Breakthroughs," TSE Working Papers 21-1222, Toulouse School of Economics (TSE), revised Dec 2024.
- Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
- Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
- Rodosthenous, Neofytos & Zervos, Mihail, 2017. "Watermark options," LSE Research Online Documents on Economics 67859, London School of Economics and Political Science, LSE Library.
- Andrea Pascucci, 2008.
"Free boundary and optimal stopping problems for American Asian options,"
Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
- Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
- Tomas Bokes, 2010. "A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives," Papers 1012.0348, arXiv.org, revised Mar 2011.
- Neofytos Rodosthenous & Mihail Zervos, 2017. "Watermark options," Finance and Stochastics, Springer, vol. 21(1), pages 157-186, January.
- J. D. Kandilarov & D. Sevcovic, 2011. "Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option," Papers 1106.0020, arXiv.org.
- Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
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