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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2008 Volume 53, Issue 3, Pages 576–587 (Mi tvp2451)

This article is cited in 1 paper

Bachelier-Version of Russian Option with a Finite Time Horizon

A. A. Kamenov

M. V. Lomonosov Moscow State University

Abstract: We consider an optimal stopping problem for the Russian option in the Bachelier model with a finite time horizon. We obtain an integral equation, which yields us a border between stopping and continuation sets. Also the asymptotic behavior of this border at 0 and infinity is found.

Keywords: Russian option, Bachelier model, optimal stopping theory, integral equation, infinitesimal generator, asymptotic price behavior.

Received: 12.12.2005
Revised: 25.03.2008

DOI: 10.4213/tvp2451


 English version:
Theory of Probability and its Applications, 2009, 53:3, 548–557

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