Valuing finite-lived Russian options
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Publication:2480974
DOI10.1016/j.ejor.2007.05.026zbMath1148.90333OpenAlexW2038749294MaRDI QIDQ2480974
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
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Related Items (14)
An efficient numerical method for pricing a Russian option with a finite time horizon ⋮ On convergence of Laplace inversion for the American put option under the CEV model ⋮ A simple and fast method for valuing American knock-out options with rebates ⋮ Valuing American options under the CEV model by Laplace-Carson transforms ⋮ Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ Unnamed Item ⋮ CEV asymptotics of American options ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ Efficient valuation of a variable annuity contract with a surrender option ⋮ Valuing continuous-installment options
Uses Software
Cites Work
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- The Fourier-series method for inverting transforms of probability distributions
- The Russian option: Reduced regret
- Arbitrage pricing of Russian options and perpetual lookback options
- Perpetual options and Canadization through fluctuation theory
- Finite expiry Russian options
- The Russian option: finite horizon
- Russian and American put options under exponential phase-type Lévy models.
- Discounted optimal stopping problems for the maximum process
- On the Russian option: The expected waiting time
- Russian options with a finite time horizon
- Randomization and the American Put
- What is the Laplace Transform?
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