The Russian options
Recently, \textit{L. A. Shepp} and \textit{A. N. Shiryaev} [Ann. Appl. Probab. 3, No. 3, 631-640 (1993; Zbl 0783.90011)] introduced Russian options in which the period before the option is exercised can be indefinitely long and cannot be predicted in advance. Furthermore, the option can be exercised at a random time. It is assumed that the price of the asset follows a geometric Brownian motion. In the present paper it is shown that the fair price of a Russian put option which has been ``guessed by the above authors, is the unique solution of a certain free boundary problem. A similar uniqueness result is obtained for the Russian call option the value of which was already obtained by Shepp and Shiryaev in a subsequent paper. It is remarkable that in both cases an explicit expression for the fair price can be obtained. For the entire collection see [Zbl 0895.00024].
- Callable Russian options and their optimal boundaries
- The Russian option: Reduced regret
- Arbitrage pricing of Russian options and perpetual lookback options
- From perpetual strangles to Russian options
- Finite expiry Russian options
- The Russian option: finite horizon
- On Russian options
- The Russian option under conditions of a possible `freezing' of prices
- The British Russian Option
- scientific article; zbMATH DE number 4218072 (Why is no real title available?)
- Comparison of theoretical formulas for price and hedging strategy of the Russian option with real data
- Filling the gap between American and Russian options: adjustable regret
- Bachelier-version of Russian option with a finite time horizon
- Option on a unit-type closed-end investment fund
- The valuation of Russian options for double exponential jump diffusion processes
- A free boundary problem arising from the valuation of the Russian option
- On the Russian option: The expected waiting time
- scientific article; zbMATH DE number 718678 (Why is no real title available?)
- scientific article; zbMATH DE number 1740313 (Why is no real title available?)
- scientific article; zbMATH DE number 1795855 (Why is no real title available?)
- Russian options with a finite time horizon
- scientific article; zbMATH DE number 796443 (Why is no real title available?)
- The Sarkisov program
- scientific article; zbMATH DE number 972637 (Why is no real title available?)
- scientific article; zbMATH DE number 2214298 (Why is no real title available?)
- On the problem of optimal stopping for the composite Russian option
- Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
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