Characterization of optimal stopping regions of American Asian and lookback options

Characterization of optimal stopping regions of American Asian and lookback options

10.1111/j.1467-9965.2006.00261.x

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Bibliographic Details
Main Authors: Dai, M., Kwok, Y.K.
Other Authors: MATHEMATICS
Format: Conference or Workshop Item
Published: 2014
Subjects:
American options
Asian feature
Lookback feature
Monotonicity properties
Optimal stopping
Online Access:http://scholarbank.nus.edu.sg/handle/10635/104541
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Institution: National University of Singapore
Description
Summary:10.1111/j.1467-9965.2006.00261.x

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