Finite expiry Russian options

DOI10.1016/J.SPA.2004.11.005MaRDI QIDQ2485844zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3505982 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 796440 (Why is no real title available?)
• scientific article; zbMATH DE number 796441 (Why is no real title available?)
• A Change-of-Variable Formula with Local Time on Surfaces
• A change-of-variable formula with local time on curves
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Integration with respect to local time
• ON THE AMERICAN OPTION PROBLEM
• On the Russian option: The expected waiting time
• Options and partial differential equations
• Perpetual options and Canadization through fluctuation theory
• Quadratic covariation and an extension of Itô's formula
• Randomization and the American put
• Russian and American put options under exponential phase-type Lévy models.
• Russian options with a finite time horizon
• The Russian option: Reduced regret
• The Russian option: finite horizon
• The pricing of the American option

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
• scientific article; zbMATH DE number 1795855 (Why is no real title available?)
• Local time-space stochastic calculus for Lévy processes

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