Min Dai, Hoi Ying Wong, Yue Kuen Kwok, “QUANTO LOOKBACK OPTIONS”, Mathematical Finance, 14, № 3, 2004, 445
Xin Guo, “An explicit solution to an optimal stopping problem with regime switching”, Journal of Applied Probability, 38, № 2, 2001, 464
Gerold Alsmeyer, Markus Jaeger, “A Useful Extension of Itô’s Formula with Applications to Optimal Stopping”, Acta Math Sinica, 21, № 4, 2005, 779
Yerkin Kitapbayev, “On the lookback option with fixed strike”, Stochastics, 86, № 3, 2014, 510
Gu Wang, “Performance Fees with Stochastic Benchmark”, SIAM J. Finan. Math., 13, № 2, 2022, 619
D. O. Kramkov, A. N. Shiryaev, “On the Rational Pricing of the “Russian Option” for the Symmetrical Binomial Model of a $(B,S)$-Market”, Theory Probab. Appl., 39, № 1, 1995, 153
Zhenyu Cui, “Stochastic Areas of Diffusions and Applications in Risk Theory”, SSRN Journal, 2013
Erik J. Baurdoux, Andreas E. Kyprianou, Curdin Ott, “Optimal prediction for positive self-similar Markov processes”, Electron. J. Probab., 21, № none, 2016
R. V. Ivanov, “Calculating the American options in the default model”, Autom Remote Control, 68, № 3, 2007, 513
Cloud Makasu, “One-sided maximal inequalities for a stock process”, Journal of Mathematical Analysis and Applications, 450, № 2, 2017, 1535