Russian options with a finite time horizon
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Publication:4819460
DOI10.1239/jap/1082999068zbMath1062.60040OpenAlexW2790082094MaRDI QIDQ4819460
Publication date: 24 September 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1082999068
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Related Items (11)
An efficient numerical method for pricing a Russian option with a finite time horizon ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing ⋮ Pricing of American lookback spread options ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ The dividend problem with a finite horizon ⋮ Valuing finite-lived Russian options ⋮ Finite expiry Russian options ⋮ Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes ⋮ Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model
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- CRITICAL STOCK PRICE NEAR EXPIRATION
- The effect of truncation on a sequential test for the drift of brownian motion
- On the Russian option: The expected waiting time
- Optimal Control on the $L^\infty $ Norm of a Diffusion Process
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