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

Gapeev, Pavel V. (2019) Solving the dual Russian option problem by using change-of-measure arguments. High Frequency. ISSN 2470-6981 (In Press)

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Pending embargo until 1 January 2100.

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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: 16 Mar 2019 00:11
URI: http://eprints.lse.ac.uk/id/eprint/100117

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