Callable Russian options and their optimal boundaries
type: Item
instance of: scholarly article
title: Callable Russian options and their optimal boundaries
zbMATH Open document ID: 1175.91185
DOI: 10.1155/2009/593986
author: Atsuo Suzuki
author: Katsushige Sawaki
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 2009-11-23T00:00:00Z
full work available at URL: https://eudml.org/doc/233794
review text: Summary: We deal with the pricing of callable Russian options. A callable Russian option is a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time, respectively. The pricing of such an option can be formulated as an optimal stopping problem between the seller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russian options and their optimal boundaries.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91A80
zbMATH DE Number: 5637296
Wikidata QID: Q58646839
MaRDI profile type: Publication
OpenAlex ID: W1980540898
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DBLP publication ID: journals/jamds/SuzukiS09
description: scientific article; zbMATH DE number 5637296