Glover, Kristoffer; Peskir, Goran; Samee, Farman - Finance Discipline Group, Business School - 2010
Following the economic rationale of [10] and [11] we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of American options where upon his payoff (deliverable immediately) is the 'best prediction' of the...