Finite expiry Russian options

DOI10.1016/j.spa.2004.11.005zbMath1151.91505MaRDI QIDQ2485844

J. J. Duistermaat, Andreas 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

zbMATH Keywords

American options; Russian options; Optimal stopping problem; Local time-space; Stefan boundary problem

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

45G10: Other nonlinear integral equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

35R35: Free boundary problems for PDEs

Related Items

Russian options with a finite time horizon, Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes, Valuing finite-lived Russian options, Local time-space stochastic calculus for Lévy processes

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