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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 1, Pages 130–149 (Mi tvp3764)  
This article is cited in 96 scientific papers (total in 96 papers)

A new look at pricing of the “Russian Option”

L. A. Sheppa, A. N. Shiryaevb

a AT&T Bell Laboratories, New Jersey, USA
b Steklov Mathematical Institute, Russian Academy of Sciences
Full-text PDF (888 kB) Citations (96)
Abstract: The “Russian option” was introduced and calculated with the help of the solution of the optimal stopping problem for a two-dimensional Markov process in [10]. This paper proposes a new derivation of the general results [10]. The key idea is to introduce the dual martingale measure which permits one to reduce the “two-dimensional” optimal stopping problem to a “one-dimensional” one. This approach simplifies the discussion and explain the simplicity of the answer found in [10].
Keywords: diffusion model of the $(B,S)$-market, bank account, rational option price, rational expiration time, optimal stopping rules, smooth sewing condition, the Stephan problem, diffusion with reflection.
Received: 05.07.1993
English version:
Theory of Probability and its Applications, 1994, Volume 39, Issue 1, Pages 103–119
DOI: https://doi.org/10.1137/1139004
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: L. A. Shepp, A. N. Shiryaev, “A new look at pricing of the “Russian Option””, Teor. Veroyatnost. i Primenen., 39:1 (1994), 130–149; Theory Probab. Appl., 39:1 (1994), 103–119
Citation in format AMSBIB
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\paper A new look at pricing of the ``Russian Option''
\jour Teor. Veroyatnost. i Primenen.
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\pages 130--149
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\transl
\jour Theory Probab. Appl.
\yr 1994
\vol 39
\issue 1
\pages 103--119
\crossref{https://doi.org/10.1137/1139004}
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  • https://www.mathnet.ru/eng/tvp/v39/i1/p130
    • This publication is cited in the following 96 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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