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American Fractional Lookback Options: Valuation and Premium Decomposition

โœ Scribed by Kimura, Toshikazu

Book ID
118192625
Publisher
Society for Industrial and Applied Mathematics
Year
2011
Tongue
English
Weight
362 KB
Volume
71
Category
Article
ISSN
0036-1399

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In this paper, we propose an alternative approach for pricing and hedging American barrier options. Speci"cally, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early exerci