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The Russian Options

In: Introduction to Option Pricing Theory

Author

Listed:
  • Gopinath Kallianpur

    (University of North Carolina, Department of Statistics)

  • Rajeeva L. Karandikar

    (Indian Statistical Institute, Department of Mathematics & Statistics)

Abstract

In the European and American options of option pricing theory, the time period between the time the option is purchased and the time at or before which the option has to be exercised is fixed and known. If the purchase time is taken to be t = 0 and the exercise time t = T, then the European option pricing theory requires the option to be exercised at t = T (the date of maturity); under the American option, you can exercise it at any time up to T, and moreover, the exercise time can be random (cf. (Karatzas and Shreve, 1988)).

Suggested Citation

  • Gopinath Kallianpur & Rajeeva L. Karandikar, 2000. "The Russian Options," Springer Books, in: Introduction to Option Pricing Theory, chapter 14, pages 241-263, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-0511-1_14
    DOI: 10.1007/978-1-4612-0511-1_14
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