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

id	sg-nus-scholar.10635-105141
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spelling	sg-nus-scholar.10635-1051412023-10-30T22:06:26Z Exercise regions and efficient valuation of American lookback options Lai, T.L. Lim, T.W. STATISTICS & APPLIED PROBABILITY American lookback option Optimal stopping problem Space-time transformation 10.1111/j.0960-1627.2004.00191.x Mathematical Finance 14 2 249-269 2014-10-28T05:12:07Z 2014-10-28T05:12:07Z 2004-04 Article Lai, T.L., Lim, T.W. (2004-04). Exercise regions and efficient valuation of American lookback options. Mathematical Finance 14 (2) : 249-269. ScholarBank@NUS Repository. https://doi.org/10.1111/j.0960-1627.2004.00191.x 09601627 http://scholarbank.nus.edu.sg/handle/10635/105141 000220357700006 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	American lookback option Optimal stopping problem Space-time transformation
spellingShingle	American lookback option Optimal stopping problem Space-time transformation Lai, T.L. Lim, T.W. Exercise regions and efficient valuation of American lookback options
description	10.1111/j.0960-1627.2004.00191.x
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Lai, T.L. Lim, T.W.
format	Article
author	Lai, T.L. Lim, T.W.
author_sort	Lai, T.L.
title	Exercise regions and efficient valuation of American lookback options
title_short	Exercise regions and efficient valuation of American lookback options
title_full	Exercise regions and efficient valuation of American lookback options
title_fullStr	Exercise regions and efficient valuation of American lookback options
title_full_unstemmed	Exercise regions and efficient valuation of American lookback options
title_sort	exercise regions and efficient valuation of american lookback options
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105141
_version_	1781787999817695232

Exercise regions and efficient valuation of American lookback options

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