Pricing of American lookback spread options

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dc.contributor.authorWoo, Min Hyeokko
dc.contributor.authorChoe, Geon Hoko
dc.date.accessioned2020-09-18T03:57:36Z-
dc.date.available2020-09-18T03:57:36Z-
dc.date.created2020-06-11-
dc.date.issued2020-10-
dc.identifier.citationSTOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.130, no.10, pp.6300 - 6318-
dc.identifier.issn0304-4149-
dc.identifier.urihttp://hdl.handle.net/10203/276063-
dc.description.abstractWe find the closed form formula for the price of the perpetual American lookback spread option, whose payoff is the difference of the running maximum and minimum prices of a single asset. We solve an optimal stopping problem related to both maximum and minimum. We show that the spread option is equivalent to some fixed strike options on some domains, find the exact form of the optimal stopping region, and obtain the solution of the resulting partial differential equations. The value function is not differentiable. However, we prove the verification theorem due to the monotonicity of the maximum and minimum processes.-
dc.languageEnglish-
dc.publisherELSEVIER-
dc.titlePricing of American lookback spread options-
dc.typeArticle-
dc.identifier.wosid000562734000015-
dc.identifier.scopusid2-s2.0-85085754209-
dc.type.rimsART-
dc.citation.volume130-
dc.citation.issue10-
dc.citation.beginningpage6300-
dc.citation.endingpage6318-
dc.citation.publicationnameSTOCHASTIC PROCESSES AND THEIR APPLICATIONS-
dc.identifier.doi10.1016/j.spa.2020.05.012-
dc.contributor.localauthorChoe, Geon Ho-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorAmerican option-
dc.subject.keywordAuthorLookback spread option-
dc.subject.keywordAuthorOptimal stopping-
dc.subject.keywordAuthorMaximum and minimum processes-
dc.subject.keywordPlusFLOATING STRIKE-
dc.subject.keywordPlusRUSSIAN OPTIONS-
dc.subject.keywordPlusTIME-
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