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scientific article; zbMATH DE number 1897424
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scientific article; zbMATH DE number 1897424 |
Statements
27 April 2003
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American option, optimal stopping time
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rational price
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0.7878363
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0.78100085
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0.7765065
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0.77145886
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Let \((S_t)\) \((t\geq 0)\) be a geometric Brownian motion. The author considers a new type of American options with a system of payoff functions \((g_t)\) \((t\geq 0)\) where \(g_t\) is a sum of the time \(t\) payoff function of the well-known Russian option introduced by \textit{L. Shepp} and \textit{A. N. Shiryaev} [Ann. Appl. Probab. 3, 631--640 (1993; Zbl 0783.90011)] and \(S_t\) times the time \(t\) payoff function of a certain integral Russian option. The author determines the optimal stopping time and the rational price of the American option in the case of an infinite time horizon. For the entire collection see [Zbl 1007.00020].
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