The valuation of Russian options for double exponential jump diffusion processes

DOI10.1142/S021759591000265XMaRDI QIDQ3566768zbMATH OpenOpenAlexFDO

Authors Atsuo Suzuki, Katsushige Sawaki

Publication date 10 June 2010

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021759591000265x

zbMATH Keywords

jump diffusion processRussian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Arbitrage pricing of Russian options and perpetual lookback options
• Option pricing when underlying stock returns are discontinuous
• The Russian option: Reduced regret

Cited in

(5)

• Valuing finite-lived Russian options
• Valuation of Russian game option under a jump diffusion model
• Optimal processing rate and buffer size of a jump-diffusion processing system
• An efficient numerical method for pricing a Russian option with a finite time horizon
• On the conditional default probability in a regulated market with jump risk

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