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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/1320
Title: American options with lookback payoff
Authors: Dai, Min
Kwok, Yue Kuen
Keywords: Lookback options
American feature
Free boundary problems
Black-Scholes
Issue Date: 2004
Abstract: We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options and pricing model of protection fund. In each class of the American lookback options, we analyze the characterization of the optimal stopping region, in particular, their asymptotic behaviors at time close to expiration and at infinite time to expiration. The inter-relations between the price functions of these American lookback options are explored. The mathematical technique of analyzing the exercise boundary curves of lookback options at infinitesimally small asset value is also applied to a similar analysis in the American two-asset minimum-put option model.
URI: http://hdl.handle.net/1783.1/1320
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