Characterization of optimal stopping regions of American Asian and lookback options

Mathematical Finance

Volumn 16, Issue 1, 2006, Pages 63-82

  Dai, Mim ^a   Kwok, Yue Kuen ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

American options; Asian feature; Lookback feature; Monotonicity properties; Optimal stopping

Indexed keywords

EID: 33645115987     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00261.x     Document Type: Conference Paper

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