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JOURNALS // Trudy Matematicheskogo Instituta imeni V.A. Steklova // Archive

Trudy Mat. Inst. Steklova, 2002 Volume 237, Pages 279–289 (Mi tm339)

The Pricing of an Option That Is a Combination of Russian and Integral Russian Options

O. A. Glonti

Tbilisi Ivane Javakhishvili State University

Abstract: A ew American option is considered within the classical Black–Scholes model. This option represents a combination of Russian and integral Russian options. The pricing problem for this option is reduced to an optimal stopping problem, which is solved in the case of an infinite time horizon.

UDC: 519.2+519.8

Received in December 2000


 English version:
Proceedings of the Steklov Institute of Mathematics, 2002, 237, 270–280

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