scholarly journals The British Russian Option

Stochastics ◽  
2010 ◽  
Vol 83 (4-6) ◽  
pp. 315-332 ◽  
Author(s):  
K. Glover ◽  
G. Peskir ◽  
F. Samee
Keyword(s):  
Russian Option

Taiwan's Russian Option: Image and Reality

Asian Survey ◽  
1978 ◽  
Vol 18 (7) ◽  
pp. 751-766 ◽  
Author(s):  
John W. Garver
Keyword(s):  
Russian Option

scholarly journals The Russian option: Finite horizon

2005 ◽  
Vol 9 (2) ◽  
pp. 251-267 ◽  
Author(s):  
Goran Peskir
Keyword(s):  
Finite Horizon ◽  
Russian Option

scholarly journals Callable Russian Options and Their Optimal Boundaries

2009 ◽  
Vol 2009 ◽  
pp. 1-13 ◽  
Author(s):  
Atsuo Suzuki ◽  
Katsushige Sawaki
Keyword(s):  
Optimal Stopping ◽  
Value Function ◽  
Optimal Stopping Problem ◽  
Dynkin Game ◽  
Russian Option ◽  
The Value Function

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.

The Russian option under conditions of a possible price 'freeze'

2001 ◽  
Vol 56 (1) ◽  
pp. 179-181 ◽  
Author(s):  
L A Shepp ◽  
A N Shiryaev
Keyword(s):  
Russian Option ◽  
Price Freeze

Russian options with a finite time horizon

2004 ◽  
Vol 41 (2) ◽  
pp. 313-326 ◽  
Author(s):  
Erik Ekström
Keyword(s):  
Asymptotic Behavior ◽  
Free Boundary ◽  
Boundary Problem ◽  
Optimal Stopping ◽  
Finite Time ◽  
Time Horizon ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Finite Time Horizon ◽  
Russian Option

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.

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