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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 1, Pages 191–200 (Mi tvp3766)  
This article is cited in 10 scientific papers (total in 10 papers)

Short Communications

On the rational pricing of the “Russian Option” for the symmetrical binomial model of a $(B,S)$-market

D. O. Kramkov, A. N. Shiryaev

Steklov Mathematical Institute, Russian Academy of Sciences
Full-text PDF (442 kB) Citations (10)
Abstract: We present in the binomial model of Cox, Rubinstein and Ross the closed form solution for the “Russian option”, i.e., the American type option with the reward sequence $f=(f_n)_{n\ge 0}$ given by
$$ f_n(\omega)=\beta^n\max_{k\le n}S_k(\omega), $$
where $\beta$ is some discounting factor, $0<\beta<1$. This option was introduced earlier by L. Sheep and A. N. Shiryaev [3], in the framework of the diffusion model of Black and Sholes.
Keywords: the binomial Cox, Rubinstein, and Ross model, American option, “Russian option”, symmetric geometrical random walk, optimal stopping rules.
Received: 05.07.1993
English version:
Theory of Probability and its Applications, 1994, Volume 39, Issue 1, Pages 153–162
DOI: https://doi.org/10.1137/1139006
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: D. O. Kramkov, A. N. Shiryaev, “On the rational pricing of the “Russian Option” for the symmetrical binomial model of a $(B,S)$-market”, Teor. Veroyatnost. i Primenen., 39:1 (1994), 191–200; Theory Probab. Appl., 39:1 (1994), 153–162
Citation in format AMSBIB
\Bibitem{KraShi94}
\by D.~O.~Kramkov, A.~N.~Shiryaev
\paper On the rational pricing of the ``Russian Option'' for the symmetrical binomial model of a $(B,S)$-market
\jour Teor. Veroyatnost. i Primenen.
\yr 1994
\vol 39
\issue 1
\pages 191--200
\mathnet{http://mi.mathnet.ru/tvp3766}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1348194}
\zmath{https://zbmath.org/?q=an:0836.90013}
\transl
\jour Theory Probab. Appl.
\yr 1994
\vol 39
\issue 1
\pages 153--162
\crossref{https://doi.org/10.1137/1139006}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1995RH52800006}
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  • https://www.mathnet.ru/eng/tvp/v39/i1/p191
    • This publication is cited in the following 10 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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