Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0362-546X(01)00572-7
Title: Early exercise policies of American floating strike and fixed strike lookback options
Authors: Yu, H. 
Kuen Kwok, Y.
Wu, L.
Keywords: American lookback options
Early exercise policies
Floating strike and fixed strike
Numerical algorithms
Issue Date: 2001
Source: Yu, H.,Kuen Kwok, Y.,Wu, L. (2001). Early exercise policies of American floating strike and fixed strike lookback options. Nonlinear Analysis, Theory, Methods and Applications 47 (7) : 4591-4602. ScholarBank@NUS Repository. https://doi.org/10.1016/S0362-546X(01)00572-7
Abstract: Using appropriate similarity transform, we present the partial differential equation formulation of both floating strike and fixed strike American lookback option models. We examine the early exercise policies of the floating strike and fixed strike American lookback options, while the realized extrmum of the asset price can be monitored continuously or discretely. The characterizations of the optimal exercise prices of American lookback options are also discussed. For the numerical valuation of the American lookback options, several approaches for deriving efficient and accurate numerical results are addressed.
Source Title: Nonlinear Analysis, Theory, Methods and Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/42426
ISSN: 0362546X
DOI: 10.1016/S0362-546X(01)00572-7
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