Bachelier-version of Russian option with a finite time horizon

DOI10.1137/S0040585X9798381XzbMATH Open1202.91320OpenAlexW1992444594MaRDI QIDQ3556743FDOQ3556743

Authors 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

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

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Cited in

(5)

• Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
• The Russian option: finite horizon
• An efficient numerical method for pricing a Russian option with a finite time horizon
• Valuing finite-lived Russian options
• Russian options with a finite time horizon

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