The Russian option: Finite horizon
نویسنده
چکیده
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 parallel with the best known results on theAmerican put optionwith finite horizon.The key argument in the proof relies upon a local time-space formula.
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 ...
متن کاملTwo-warehouse system for non-instantaneous deterioration products with promotional effort and inflation over a finite time horizon
In the current global market, organizations use many promotional tools to increase their sales. One such tool is sales teams’ initiatives or promotional policies, i.e., free gifts, discounts, packaging, etc. This phenomenon motivates the retailer/or buyer to order a large inventory lot so as to take full benefit of promotional policies. In view of this the present paper considers a two-warehous...
متن کاملThe Finite Horizon Economic Lot Scheduling in Flexible Flow Lines
This paper addresses the common cycle multi-product lot-scheduling problem in flexible flow lines (FFL) where the product demands are deterministic and constant over a finite planning horizon. Objective is minimizing the sum of setup costs, work-in-process and final products inventory holding costs per time unite while satisfying the demands without backlogging. This problem consists of a combi...
متن کاملInventory Model for Non – Instantaneous Deteriorating Items, Stock Dependent Demand, Partial Backlogging, and Inflation over a Finite Time Horizon
In the present study, the Economic Order Quantity (EOQ) model of two-warehouse deals with non-instantaneous deteriorating items, the demand rate considered as stock dependent and model affected by inflation under the pattern of time value of money over a finite planning horizon. Shortages are allowed and partially backordered depending on the waiting time for the next replenishment. The main ob...
متن کاملFinite Horizon Economic Lot and Delivery Scheduling Problem: Flexible Flow Lines with Unrelated Parallel Machines and Sequence Dependent Setups
This paper considers the economic lot and delivery scheduling problem in a two-echelon supply chains, where a single supplier produces multiple components on a flexible flow line (FFL) and delivers them directly to an assembly facility (AF). The objective is to determine a cyclic schedule that minimizes the sum of transportation, setup and inventory holding costs per unit time without shortage....
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Finance and Stochastics
دوره 9 شماره
صفحات -
تاریخ انتشار 2005