Callable Russian Options and Their Optimal Boundaries
Joint Authors
Sawaki, Katsushige
Suzuki, Atsuo
Source
Journal of Applied Mathematics and Decision Sciences
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-05-25
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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 Russian options and their optimal boundaries.
American Psychological Association (APA)
Suzuki, Atsuo& Sawaki, Katsushige. 2009. Callable Russian Options and Their Optimal Boundaries. Journal of Applied Mathematics and Decision Sciences،Vol. 2009, no. 2009, pp.1-13.
https://search.emarefa.net/detail/BIM-483590
Modern Language Association (MLA)
Suzuki, Atsuo& Sawaki, Katsushige. Callable Russian Options and Their Optimal Boundaries. Journal of Applied Mathematics and Decision Sciences No. 2009 (2009), pp.1-13.
https://search.emarefa.net/detail/BIM-483590
American Medical Association (AMA)
Suzuki, Atsuo& Sawaki, Katsushige. Callable Russian Options and Their Optimal Boundaries. Journal of Applied Mathematics and Decision Sciences. 2009. Vol. 2009, no. 2009, pp.1-13.
https://search.emarefa.net/detail/BIM-483590
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-483590
