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American lookback options: Early exercise

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Date Issued:
1995
Summary:
Lookback options are path dependent contingent claims whose payoff depend on the extrema of a given security's price over a given period. Some of these options are already traded on specialized markets (such as foreign exchange) and mostly in over-the-counter market alongside with other path dependent options (knock-ins, knock-outs, etc.). This thesis examines the existing pricing models of conventional options as well as standard European lookback options and provides some results about early exercise of their American counterparts with the use of notions from the theory of optimal stopping.
Title: American lookback options: Early exercise.
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Name(s): Abramov, Viatcheslav Alexander.
Florida Atlantic University, Degree grantor
Yuhn, Ky-hyang, Thesis advisor
College of Business
Department of Economics
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: monographic
Date Issued: 1995
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 50 p.
Language(s): English
Summary: Lookback options are path dependent contingent claims whose payoff depend on the extrema of a given security's price over a given period. Some of these options are already traded on specialized markets (such as foreign exchange) and mostly in over-the-counter market alongside with other path dependent options (knock-ins, knock-outs, etc.). This thesis examines the existing pricing models of conventional options as well as standard European lookback options and provides some results about early exercise of their American counterparts with the use of notions from the theory of optimal stopping.
Identifier: 15177 (digitool), FADT15177 (IID), fau:11949 (fedora)
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): College of Business
Thesis (M.A.)--Florida Atlantic University, 1995.
Subject(s): Options (Finance)
Derivative securities
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/15177
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.