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
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
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