The Russian option: Finite horizon
نویسندگان
چکیده
منابع مشابه
The 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...
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Following the economic rationale of [10] and [11] we present a new class of lookback options (by first studying the canonical ‘Russian’ variant) where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. I...
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We propose a new put asset where the option buyer receives the maximum price (discounted) that the option has ever traded at during the time period (which may be inde nitely long) between the purchase time and the exercise time | so that the buyer need look at the uctuations only occasionally and enjoys having little or no regret that he didn't exercise the option at an earlier time (except for...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2005
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-004-0133-8