Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A closed-form solution for perpetual American floating strike lookback options
Min Dai
Abstract
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 solution.
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