1. RUSSIAN OPTIONS WITH A FINITE TIME HORIZON.
- Author
-
Ekstrom, Erik
- Subjects
OPTIMAL stopping (Mathematical statistics) ,SEQUENTIAL analysis ,STATISTICAL decision making ,MATHEMATICAL statistics ,EXPIRATION ,ASYMPTOTIC expansions - Abstract
We investigate the Russian option with a finite time horizon in the standard Black-Scholes model. The value of the option is shown to be a solution of a certain parabolic free boundary problem, and the optimal stopping boundary is shown to be continuous. Moreover, the asymptotic behavior of the optimal stopping boundary near expiration is studied. [ABSTRACT FROM AUTHOR]
- Published
- 2004
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