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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 3, Pages 576–587
DOI: https://doi.org/10.4213/tvp2451 (Mi tvp2451) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Bachelier-Version of Russian Option with a Finite Time Horizon

A. A. Kamenov

M. V. Lomonosov Moscow State University
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DOI: https://doi.org/10.4213/tvp2451
Abstract: We consider an optimal stopping problem for the Russian option in the Bachelier model with a finite time horizon. We obtain an integral equation, which yields us a border between stopping and continuation sets. Also the asymptotic behavior of this border at 0 and infinity is found.
Keywords: Russian option, Bachelier model, optimal stopping theory, integral equation, infinitesimal generator, asymptotic price behavior.
Received: 12.12.2005
Revised: 25.03.2008
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 3, Pages 548–557
DOI: https://doi.org/10.1137/S0040585X9798381X
Bibliographic databases:
Language: Russian
Citation: A. A. Kamenov, “Bachelier-Version of Russian Option with a Finite Time Horizon”, Teor. Veroyatnost. i Primenen., 53:3 (2008), 576–587; Theory Probab. Appl., 53:3 (2009), 548–557
Citation in format AMSBIB
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  • https://doi.org/10.4213/tvp2451
  • https://www.mathnet.ru/eng/tvp/v53/i3/p576
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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