The Russian option: finite horizon
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Publication:2488479
DOI10.1007/s00780-004-0133-8zbMath1092.91029OpenAlexW2144176130MaRDI QIDQ2488479
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.maths.manchester.ac.uk/743/1/The_russian_option.pdf
optimal stoppingfinite horizonnonlinear integral equationgeometric Brownian motionfree-boundary problemRussian optioncurved boundarylocal time-space calculussmooth-fitarbitrage-free price
Other nonlinear integral equations (45G10) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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