The British Russian Option

DOI10.1080/17442501003690192zbMath1229.91308OpenAlexW2126058113MaRDI QIDQ3108365

Farman Samee, Goran Peskir, Kristoffer J. Glover

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/17249

zbMATH Keywords

British lookback optionBritish Russian optionEuropean/American Russian optionfixed/floating strikeflexible lookback optionsmaximum/minimum stock price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (3)

THE BRITISH ASSET-OR-NOTHING PUT OPTION ⋮ The British Lookback Option with Fixed Strike ⋮ AMERICAN OPTIONS AND INCOMPLETE INFORMATION

Cites Work

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• The trap of complacency in predicting the maximum
• The Russian option: Reduced regret
• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• The Russian option: finite horizon
• A change-of-variable formula with local time on curves
• The British Put Option
• Exercise Regions And Efficient Valuation Of American Lookback Options
• The British call option

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