Geodesic
Bachelier-Version of Russian Option with a Finite Time Horizon
Teoriâ veroâtnostej i ee primeneniâ, Tome 53 (2008) no. 3, pp. 576-587

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We consider an optimal stopping problem for the Russian option in the Bachelier model with a finite time horizon. We obtain an integral equation, which yields us a border between stopping and continuation sets. Also the asymptotic behavior of this border at 0 and infinity is found.
Keywords: Russian option, optimal stopping theory, integral equation, infinitesimal generator, asymptotic price behavior.
Mots-clés : Bachelier model 
@article{TVP_2008_53_3_a8,
     author = {A. A. Kamenov},
     title = {Bachelier-Version of {Russian} {Option} with a {Finite} {Time} {Horizon}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {576--587},
     publisher = {mathdoc},
     volume = {53},
     number = {3},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2008_53_3_a8/}
}
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A. A. Kamenov. Bachelier-Version of Russian Option with a Finite Time Horizon. Teoriâ veroâtnostej i ee primeneniâ, Tome 53 (2008) no. 3, pp. 576-587. http://geodesic.mathdoc.fr/item/TVP_2008_53_3_a8/