Bachelier-Version of Russian Option with a Finite Time Horizon

DOI10.1137/S0040585X9798381XzbMath1202.91320OpenAlexW1992444594MaRDI QIDQ3556743

A. A. Kamenov

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x9798381x

zbMATH Keywords

integral equationinfinitesimal generatorRussian optionBachelier modeloptimal stopping theoryasymptotic price behavior

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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