On the lookback option with fixed strike
Author:
Affiliation:
1. School of Mathematics, The University of Manchester, Oxford Road, ManchesterM13 9PL, UK
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2013.837908
Reference13 articles.
1. Discounted optimal stopping for maxima in diffusion models with finite horizon
2. The British Russian Option
3. A. Kyprianou and C. Ott, A capped optimal stopping problem for the maimum process, (2012). Available at arXiv, 1204.3119v1 [math.PR].
4. Discounted optimal stopping problems for the maximum process
5. Optimal stopping of the maximum process: the maximality principle
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