Bachelier-Version of Russian Option with a Finite Time Horizon (Q3556743)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bachelier-Version of Russian Option with a Finite Time Horizon |
scientific article |
Statements
Bachelier-Version of Russian Option with a Finite Time Horizon (English)
0 references
26 April 2010
0 references
Russian option
0 references
Bachelier model
0 references
optimal stopping theory
0 references
integral equation
0 references
infinitesimal generator
0 references
asymptotic price behavior
0 references
