Arbitrage pricing of Russian options and perpetual lookback options

DOI10.1214/aoap/1177005356zbMath0783.90009OpenAlexW2019375952MaRDI QIDQ1308694

J. Michael Harrison, J. Darrell Duffie

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/1177005356

zbMATH Keywords

stochastic differential equationoption pricingone-dimensional diffusion processRussian option

Mathematics Subject Classification ID

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