CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS

作者：Min Dai, Yue Kuen Kwok · 发表于：Mathematical Finance · 年份：2006 · DOI：10.1111/j.1467-9965.2006.00261.x · 被引用次数：36 · 研究领域：Stochastic processes and financial applications、Capital Investment and Risk Analysis、Insurance, Mortality, Demography, Risk Management

A general framework is developed to analyze the optimal stopping (exercise) regions of American path‐dependent options with either the Asian feature or lookback feature. We examine the monotonicity properties of the option values and stopping regions with respect to the interest rate, dividend yield, and time. From the ordering properties of the values of American lookback options and American Asian options, we deduce the corresponding nesting relations between the exercise regions of these American options. We illustrate how some properties of the exercise regions of the American Asian options can be inferred from those of the American lookback options.