The Russian option under conditions of a possible price 'freeze'

DOI10.1070/RM2001V056N01ABEH000377zbMath1004.91043OpenAlexW2000036324MaRDI QIDQ2784535

Albert N. Shiryaev, Lawrence A. Shepp

Publication date: 6 February 2003

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2001v056n01abeh000377

zbMATH Keywords

bankruptcyRussian optionoptimal stopping rulesprimces

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (1)

Liouville property for groups and manifolds

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