Opening book details…
Can I read Finite expiry Russian options on EtoBox?
Finite expiry Russian options by J.J. Duistermaat; A.E. Kyprianou; K. van Schaik is a Mathematics article available to read on EtoBox.
What is Finite expiry Russian options about?
We consider the Russian option introduced by Shepp and Shiryayev (Ann. Appl. Probab. 3 (1993) 631, Theory Probab. Appl. 39 (1995) 103) but with finite expiry and show that its spacetime value function characterizes the unique solution to a free boundary problem. Further, using a method of randomization (or Canadization) due to Carr (Rev. Financ. Stud. 11 (1998) 597) we produce a numerical algorithm for solving the aforementioned free boundary problem.
Who reads Finite expiry Russian options?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- J.J. Duistermaat; A.E. Kyprianou; K. van Schaik
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4149)
- Published
- 2005
- Language
- EN
- Field
- Mathematics (Physical Sciences)