A Closed-Form Solution for Perpetual American Floating Strike Lookback Options

Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001

8 Pages Posted: 21 Feb 2005

See all articles by Min Dai

Min Dai

National University of Singapore (NUS) - Department of Mathematics

Abstract

A closed-form solution is derived for perpetual American floating strike lookback options with continuous dividend payment using a PDE approach. Numerical experiments are performed to verify the validity of the closed-form soluton.

Keywords: Perpetual American lookback options, closed-form solution, floating strike

Suggested Citation

Dai, Min, A Closed-Form Solution for Perpetual American Floating Strike Lookback Options. Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001. Available at SSRN: https://ssrn.com/abstract=669481

Min Dai (Contact Author)

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

Singapore

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