The British Russian Option

DOI10.1080/17442501003690192MaRDI QIDQ3108365zbMATH OpenOpenAlexFDO

Authors Kristoffer J. Glover, Goran Peskir, Farman Samee

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/17249

zbMATH Keywords

British lookback optionBritish Russian optionEuropean/American Russian optionfixed/floating strikeflexible lookback optionsmaximum/minimum stock price

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• scientific article; zbMATH DE number 1223600
• scientific article; zbMATH DE number 4218072
• The Russian option: Reduced regret
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Cites work

• A change-of-variable formula with local time on curves
• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• Exercise Regions And Efficient Valuation Of American Lookback Options
• scientific article; zbMATH DE number 5774588 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• The British call option
• The British put option
• The Russian option: finite horizon
• The Russian option: Reduced regret
• The trap of complacency in predicting the maximum

Cited in

(10)

• The Russian option: Reduced regret
• The British put option
• scientific article; zbMATH DE number 4218072 (Why is no real title available?)
• The British lookback option with fixed strike
• The British Asian option
• American options and incomplete information
• The British knock-out put option
• The British asset-or-nothing put option
• The British call option
• An analytical approximation for the asset-or-nothing put option

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