Exercise regions and efficient valuation of American lookback options

Mathematical Finance

Volumn 14, Issue 2, 2004, Pages 249-269

  Lai, Tze Leung ^a   Lim, Tiong Wee ^b  

^a STANFORD UNIVERSITY   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

American lookback option; Optimal stopping problem; Space time transformation

Indexed keywords

EID: 1842555654     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00191.x     Document Type: Article

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