Date of Award
Master of Science
Jeb Willenbring, Chao Chao Zhu
We will introduce the American lookback option in the Black-Scholes model. Afterwards
we will examine the process it inherits and derive and formulate the linear
program needed to price it.
As an approximation, we will apply a time-discretization and a truncation of the
innite space. The requirements for a solution are weakened and the optimization
problem is reduced to base functions,being linear functions.
In the end we study the numerical results following from the above computations.
Wagner, Michael Alexander, "Pricing of American Lookback Options Using Linear Programming" (2012). Theses and Dissertations. 206.