Finite expiry Russian options
نویسندگان
چکیده
منابع مشابه
Callable Russian Options with the Finite Maturity
We consider callable Russian options with the finite maturity. Callable Russian option is a contract that the seller and the buyer have the rights to cancel and to exercise it at any time, respectively. We discuss the pricing model of callable Russian options when the stock pays dividends continuously. We show that the pricing model can be formulated as a coupled optimal stopping problem which ...
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In the last thirty years, there has been a dramatic growth in the trading of options, which are contracts between two parties giving one party the right but not the obligation to partake in a financial transaction with the other party at or before a specified date in the future. The majority of options involve the right to buy or sell an underlying asset at a prescribed price, known as the stri...
متن کاملCallable Russian Options and Their Optimal Boundaries
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 Russia...
متن کاملThe Russian option: Finite horizon
We show that the optimal stopping boundary for the Russian option with finite horizon can be characterized as the unique solution of a nonlinear integral equation arising from the early exercise premiumrepresentation (an explicit formula for the arbitrage-free price in terms of the optimal stopping boundary having a clear economic interpretation). The results obtained stand in a complete parall...
متن کاملWalter Moreira Russian Options for a Difusion with Negative Jumps Russian Options for a Diffusion with Negative Jumps
Closed solutions to the problem of pricing a Russian option when the stock is modeled by a diffusion with negative jumps are obtained. The Russian option is a perpetual American option on the maximum value of the stock. That stock is assumed to have the form of a Wiener process with drift and negative mixed–exponentially distributed jumps driven by a Poisson process. This result generalizes tho...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2005
ISSN: 0304-4149
DOI: 10.1016/j.spa.2004.11.005