American Options with Lookback Payoff

22 Pages Posted: 9 Aug 2004

See all articles by Min Dai

Min Dai

National University of Singapore (NUS) - Department of Mathematics

Yue Kuen Kwok

Hong Kong University of Science & Technology - Department of Mathematics

Date Written: March 15, 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.

Keywords: Lookback options, American feature, free boundary value problems

JEL Classification: G13

Suggested Citation

Dai, Min and Kwok, Yue Kuen, American Options with Lookback Payoff (March 15, 2004). Available at SSRN: https://ssrn.com/abstract=569483 or http://dx.doi.org/10.2139/ssrn.569483

Min Dai

National University of Singapore (NUS) - Department of Mathematics ( email )

Singapore

Yue Kuen Kwok (Contact Author)

Hong Kong University of Science & Technology - Department of Mathematics ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
410
Abstract Views
2,206
rank
74,802
PlumX Metrics