Russian options with a finite time horizon
2004 ◽
Vol 41
(02)
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pp. 313-326
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Keyword(s):
We investigate the Russian option with a finite time horizon in the standard Black–Scholes model. The value of the option is shown to be a solution of a certain parabolic free boundary problem, and the optimal stopping boundary is shown to be continuous. Moreover, the asymptotic behavior of the optimal stopping boundary near expiration is studied.
2004 ◽
Vol 41
(2)
◽
pp. 313-326
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Keyword(s):
2009 ◽
Vol 53
(3)
◽
pp. 548-557
2014 ◽
Vol 124
(12)
◽
pp. 4080-4119
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Keyword(s):
2013 ◽
Vol 69
(2)
◽
pp. 233-271
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Keyword(s):
2010 ◽
Vol 48
(8)
◽
pp. 5193-5213
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Keyword(s):
2011 ◽
Vol 74
(1)
◽
pp. 21-40
◽
2017 ◽
Vol 18
(1)
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Keyword(s):