Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/2573

Characterization of optimal stopping regions of American Asian and lookback options

Authors Dai, M
Kwok, YK
Issue Date 2006
Source Mathematical finance, v. 16, (1), 2006, JAN, p. 63-82
Summary A general framework is developed to analyze the optimal stopping (exercise) regions of American path-dependent options with either the Asian feature or lookback feature. We examine the monotonicity properties of the option values and stopping regions with respect to the interest rate, dividend yield, and time. From the ordering properties of the values of American lookback options and American Asian options, we deduce the corresponding nesting relations between the exercise regions of these American options. We illustrate how some properties of the exercise regions of the American Asian options can be inferred from those of the American lookback options.
Subjects
ISSN 0960-1627
Rights This is an electronic version of an article published in Mathematical finance, v. 16, no. 1, p. 63-82 © 2006 Blakwell
Language English
Format Article
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