Callable Russian options and their optimal boundaries

DOI10.1155/2009/593986zbMath1175.91185OpenAlexW1980540898WikidataQ58646839 ScholiaQ58646839MaRDI QIDQ1040034

Katsushige Sawaki, Atsuo Suzuki

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/233794

Mathematics Subject Classification ID

Related Items (1)

Dynkin's games and Israeli options

Cites Work

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• The Russian option: Reduced regret
• Some calculations for Israeli options
• A Primal Method for the Solution of the Groundwater Quality Management Problem
• Equilibrium Models With Singular Asset Prices
• Game options

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