Geodesic
The Pricing of an Option That Is a~Combination of Russian and Integral Russian Options
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 279-289

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A ew American option is considered within the classical Black–Scholes model. This option represents a combination of Russian and integral Russian options. The pricing problem for this option is reduced to an optimal stopping problem, which is solved in the case of an infinite time horizon. 
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     author = {O. A. Glonti},
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O. A. Glonti. The Pricing of an Option That Is a~Combination of Russian and Integral Russian Options. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 279-289. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a17/