Please use this identifier to cite or link to this item: https://doi.org/10.1137/S0036139903437345
Title: American options with lookback payoff
Authors: Dai, M. 
Kwok, Y.K.
Keywords: American feature
Free boundary problems
Lookback options
Two-asset minimum put option
Issue Date: 2006
Citation: Dai, M., Kwok, Y.K. (2006). American options with lookback payoff. SIAM Journal on Applied Mathematics 66 (1) : 206-227. ScholarBank@NUS Repository. https://doi.org/10.1137/S0036139903437345
Abstract: We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options, and the pricing model of the dynamic protection fund. For each class of the American lookback options, we analyze the optimal stopping region, in particular the asymptotic behavior at times close to expiration and at infinite time to expiration. The interrelations between the price functions of these American lookback options are explored. The mathematical technique of analyzing the exercise boundary curves of lookback options at infinitesimally small asset values is also applied to the American two-asset minimum put option model. © 2005 Society for Industrial and Applied Mathematics.
Source Title: SIAM Journal on Applied Mathematics
URI: http://scholarbank.nus.edu.sg/handle/10635/102809
ISSN: 00361399
DOI: 10.1137/S0036139903437345
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