Russian options with a finite time horizon

作者：Erik Ekström · 发表于：Journal of Applied Probability · 年份：2004 · DOI：10.1239/jap/1082999068 · 被引用次数：25 · 研究领域：Stochastic processes and financial applications、Capital Investment and Risk Analysis、Economic theories and models

We investigate the Russian option with a finite time horizon in the standard Black–Scholes model. The value of the option is shown to be a solution of a certain parabolic free boundary problem, and the optimal stopping boundary is shown to be continuous. Moreover, the asymptotic behavior of the optimal stopping boundary near expiration is studied.