On the Russian option: The expected waiting time

Theory of Probability and its Applications

Volumn 42, Issue 3, 1997, Pages 416-425

  Graversen, S E ^a   Peskir G ^a,b  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF ZAGREB   (Croatia)

Author keywords

Black scholes model; Cauchy; Discounting; Geometric Brownian motion; Girsanov's change of measure; Infinitesimal operator; Instantaneous reflection; Optimal stopping (strategy); Payoff; Russian option; Smooth pasting; The expected waiting time; The gain function

Indexed keywords

EID: 0039054684     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/s0040585x97976295     Document Type: Article

References (7)

1. F. BLACK AND M. SCHOLES, The valuation of option contracts and a test of market efficiency, J. Finance, 27 (1972), pp. 399-418.
2. F. BLACK AND M. SCHOLES, The pricing of options and corporate liabilities, J. Political Economy, 81 (1973), pp. 637-659.
3. L. E. DUBINS, L. A. SHEPP, AND A. N. SHIRYAEV, Optimal stopping rules and maximal inequalities for Bessel processes, Theory Probab. Appl., 38 (1993), pp. 226-261.
4. I. V. GIRSANOV, On transforming a certain class of stochastic processes by absolutely continuous substitution of measures, Theory Probab. Appl., 5 (1960), pp. 285-301.
5. L. A. SHEPP AND A. N. SHIRYAEV, The Russian option: Reduced regret, Ann. Appl. Probab., 3 (1993), pp. 631-640.
6. L. A. SHEPP AND A. N. SHIRYAEV, A new look at pricing of the "Russian option," Theory Probab. Appl., 39 (1994), pp. 103-119.
7. A. N. SHIRYAEV, Optimal Stopping Rules, Springer-Verlag, Berlin, New York, 1978.