Valuing finite-lived Russian options (Q2480974)

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Valuing finite-lived Russian options
scientific article

    Statements

    title
    Valuing finite-lived Russian options (English)
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    author
    Toshikazu Kimura
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    publication date
    7 April 2008
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    zbMATH Keywords
    finance
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    Russian options
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    optimal stopping problem
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    free boundary problem
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    Laplace transforms
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    Identifiers

    Mathematics Subject Classification ID
    90B99
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    90C53
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    91B28
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    zbMATH DE Number
    5261319
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