Solving the dual Russian option problem by using change-of-measure arguments

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 (2019) Solving the dual Russian option problem by using change-of-measure arguments. High Frequency, 2 (2). pp. 76-84. ISSN 2470-6981

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Abstract

We apply the change-of-measure arguments of Shepp and Shiryaev [38]to study the dual Russian option pricing problem proposed by Shepp and Shiryaev [39] as an optimal stopping problem for a one-dimensional diffusion process with reflection. We recall the solution to the associated free-boundary problem and give a solution to the resulting onedimensional optimal stopping problem by using the martingale approach of Beibel and Lerche [6] and [7].

Item Type:	Article
Additional Information:	© 2019 Wiley Periodicals, Inc.
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	20 Feb 2019 12:28
Last Modified:	01 Nov 2024 05:31
URI:	http://eprints.lse.ac.uk/id/eprint/100117

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