CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2006.00261.x/fullpdf
Reference19 articles.
1. A Dynamic Programming Procedure for Pricing American-Style Asian Options
2. C.Chiarella, and A.Ziogas(2004 ): McKean's Method Applied to American Call Options on Jump-Diffusion Processes . Working paper of University of Technology, Sydney.
3. Option pricing: A simplified approach
4. M.Dai, and Y. K.Kwok(2005 ): American Options with Lookback Payoff . Working paper[available athttp://www.math.ust.hk/~maykwok].
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