THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES

DOI10.1142/S021759591000265XzbMath1231.91448OpenAlexW2084279611MaRDI QIDQ3566768

Atsuo Suzuki, Katsushige Sawaki

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021759591000265x

zbMATH Keywords

Russian optionjump diffusion process

Mathematics Subject Classification ID

Related Items (2)

Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ On the conditional default probability in a regulated market with jump risk

Cites Work

• The Russian option: Reduced regret
• Arbitrage pricing of Russian options and perpetual lookback options
• Option pricing when underlying stock returns are discontinuous

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