Valuing finite-lived Russian options
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Publication:2480974
DOI10.1016/J.EJOR.2007.05.026zbMATH Open1148.90333OpenAlexW2038749294MaRDI QIDQ2480974FDOQ2480974
Publication date: 7 April 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.05.026
Cites Work
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- What is the Laplace Transform?
- The Russian option: Reduced regret
- Russian and American put options under exponential phase-type Lévy models.
- Discounted optimal stopping problems for the maximum process
- Arbitrage pricing of Russian options and perpetual lookback options
- The Fourier-series method for inverting transforms of probability distributions
- Perpetual options and Canadization through fluctuation theory
- Randomization and the American Put
- The Russian option: finite horizon
- Russian options with a finite time horizon
- On the Russian option: The expected waiting time
- Finite expiry Russian options
Cited In (15)
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Efficient valuation of a variable annuity contract with a surrender option
- Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
- On convergence of Laplace inversion for the American put option under the CEV model
- Title not available (Why is that?)
- Valuing American options under the CEV model by Laplace-Carson transforms
- CEV asymptotics of American options
- Valuing continuous-installment options
- ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS
- A simple and fast method for valuing American knock-out options with rebates
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- Analytic solution for American strangle options using Laplace-Carson transforms
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- An efficient numerical method for pricing a Russian option with a finite time horizon
- Title not available (Why is that?)
Uses Software
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