The Russian option: Reduced regret

DOI10.1214/aoap/1177005355zbMath0783.90011OpenAlexW1982381011MaRDI QIDQ1308692

Lawrence A. Shepp, Albert N. Shiryaev

Publication date: 17 March 1994

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005355

zbMATH Keywords

Russian optionput optiongeometric Brownian motion model

Mathematics Subject Classification ID

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