Finite expiry Russian options
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References listed on IDEAS
- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
- Goran Peskir, 2005. "On The American Option Problem," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 169-181.
- Goran Peskir, 2005. "The Russian option: Finite horizon," Finance and Stochastics, Springer, vol. 9(2), pages 251-267, April.
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- Eisenbaum, Nathalie, 2006. "Local time-space stochastic calculus for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 757-778, May.
- Kimura, Toshikazu, 2008. "Valuing finite-lived Russian options," European Journal of Operational Research, Elsevier, vol. 189(2), pages 363-374, September.
- Tiziano De Angelis & Erik Ekstrom, 2016. "The dividend problem with a finite horizon," Papers 1609.01655, arXiv.org, revised Nov 2017.
- Pavel V. Gapeev, 2006. "Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes," SFB 649 Discussion Papers SFB649DP2006-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsAmerican options Russian options Optimal stopping problem Stefan boundary problem Local time-space;
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