Finite expiry Russian options

DOI10.1016/J.SPA.2004.11.005zbMATH Open1151.91505OpenAlexW2153197956MaRDI QIDQ2485844FDOQ2485844

Authors: Hans Duistermaat, A. E. Kyprianou, Kees van Schaik 

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.11.005

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zbMATH Keywords

American optionsRussian optionsOptimal stopping problemLocal time-spaceStefan boundary problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free boundary problems for PDEs (35R35) Other nonlinear integral equations (45G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• A change-of-variable formula with local time on curves
• Title not available (Why is that?)
• The Russian option: Reduced regret
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Russian and American put options under exponential phase-type Lévy models.
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Change-of-Variable Formula with Local Time on Surfaces
• The pricing of the American option
• Perpetual options and Canadization through fluctuation theory
• Randomization and the American put
• The Russian option: finite horizon
• Russian options with a finite time horizon
• Integration with respect to local time
• Quadratic covariation and an extension of Itô's formula
• ON THE AMERICAN OPTION PROBLEM
• Title not available (Why is that?)
• On the Russian option: The expected waiting time
• Options and partial differential equations

Cited In (11)

• American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• A system of variational inequalities arising from finite expiry Russian option with two regimes
• Russian options with a finite time horizon
• Valuing finite-lived Russian options
• The dividend problem with a finite horizon
• An efficient numerical method for pricing a Russian option with a finite time horizon
• Title not available (Why is that?)
• Local time-space stochastic calculus for Lévy processes

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