Geodesic
Integral option
Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 1, pp. 201-211

Voir la notice de l'article provenant de la source Math-Net.Ru

In the context of diffusion model of the $(B,S)$-market consisting of two assets: riskless bank account $B=(B_t)_{t\ge 0}$ and risky stock $S=(S_t)_{t\ge 0}$ described by (1.1) and (1.2) we consider the option of American type with payment function of “integral type” $f=(f_t)_{t\ge 0}$: $$ f_t=e^{-\lambda t}\left[\int_0^t S^u\,du+s\psi_0\right]. $$ The paper solves the problem of definition of the fair price of the integral option under consideration. The structure of the expiration time is also described.
Keywords: Black and Scholes model of $(B,S)$-market American option, integral option, Asian option, optimal stopping time, Kummer's functions, rational time. 
@article{TVP_1994_39_1_a6,
     author = {D. O. Kramkov and \'E. Mordecki},
     title = {Integral option},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {201--211},
     publisher = {mathdoc},
     volume = {39},
     number = {1},
     year = {1994},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1994_39_1_a6/}
}
TY  - JOUR
AU  - D. O. Kramkov
AU  - É. Mordecki
TI  - Integral option
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 1994
SP  - 201
EP  - 211
VL  - 39
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_1994_39_1_a6/
LA  - ru
ID  - TVP_1994_39_1_a6
ER  - 
%0 Journal Article
%A D. O. Kramkov
%A É. Mordecki
%T Integral option
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1994
%P 201-211
%V 39
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_1994_39_1_a6/
%G ru
%F TVP_1994_39_1_a6
D. O. Kramkov; É. Mordecki. Integral option. Teoriâ veroâtnostej i ee primeneniâ, Tome 39 (1994) no. 1, pp. 201-211. http://geodesic.mathdoc.fr/item/TVP_1994_39_1_a6/