From perpetual strangles to Russian options

DOI10.1016/0167-6687(94)90787-0zbMath0822.60042OpenAlexW2035089054MaRDI QIDQ1892983

Elias S. W. Shiu, Hans U. Gerber

Publication date: 3 July 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90787-0

zbMATH Keywords

optional sampling theoremgeometric Brownian motion modeling the stock price processhistorical maximum of the stock pricespricing formula for Russian option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Actuarial bridges to dynamic hedging and option pricing

Cites Work

• The Russian option: Reduced regret
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