Exercise regions and efficient valuation of American lookback options

Exercise regions and efficient valuation of American lookback options

10.1111/j.0960-1627.2004.00191.x

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Bibliographic Details
Main Authors: Lai, T.L., Lim, T.W.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
American lookback option
Optimal stopping problem
Space-time transformation
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105141
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Institution: National University of Singapore
Description
Summary:10.1111/j.0960-1627.2004.00191.x

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