Finite expiry Russian options

DOI10.1016/j.spa.2004.11.005zbMath1151.91505OpenAlexW2153197956MaRDI QIDQ2485844

Andreas E. Kyprianou, Kees van Schaik, J. J. Duistermaat

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.11.005

zbMATH Keywords

American optionsRussian optionsOptimal stopping problemLocal time-spaceStefan boundary problem

Mathematics Subject Classification ID

Related Items (9)

An efficient numerical method for pricing a Russian option with a finite time horizon ⋮ Russian options with a finite time horizon ⋮ Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ The dividend problem with a finite horizon ⋮ Valuing finite-lived Russian options ⋮ Local time-space stochastic calculus for Lévy processes ⋮ Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

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