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Kitapbayev, Y. (2015) The British Lookback Option with Fixed Strike. Applied Mathematical Finance, 22, 238-260. https://doi.org/10.1080/1350486X.2015.1019156

has been cited by the following article:

  • TITLE: The British Binary Option

    AUTHORS: Min Gao

    KEYWORDS: British Binary Option, American Binary Option, Arbitrage-Free Price, Rational Exercise Boundary, Optimal Stopping, Geometric Brownian Motion, Parabolic Free Boundary Problem

    JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.4, November 14, 2019

    ABSTRACT: Following the economic rationale of the British options, we present a new class of binary options where the holder enjoys the early exercise feature of the American binary options with his payoff is the “best prediction” of the European binary payoff under the hypothesis that the true drift equals a contract drift. Based on the observed price movements, the option holder finds that the true drift of the stock price is unfavourable then he can substitute it with the contract drift. The key to the British binary option is the protection feature and to minimize the losses. A closed form expression for the arbitrage-free price is derived in terms of the rational exercise boundary and the rational exercise boundary itself can be characterized as the unique solution to a nonlinear integral equation. We also analyze the financial meaning of the British binary options using the results above.