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The Russian Options

  • G. Kallianpur
Part of the Trends in Mathematics book series (TM)

Abstract

In the European and American options of option pricing theory, the time period between the time the option is purchased and the time at or before which the option has to be exercised is fixed and known. If the purchase time is taken to be t = 0 and the exercise time t = T, then the European option pricing theory requires the option to be exercised at t = T (the date of maturity) while under the American option, you can exercise it at any time up to T and moreover, the exercise time can be random.

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References

  1. [1]
    L.A. Shepp and A.N. Shiryaev, The Russian option: Reduced regret, The Annals of Applied Probability, 3 (1993), 631–640.MathSciNetzbMATHCrossRefGoogle Scholar
  2. [2]
    L.A. Shepp and A.N. Shiryaev, A dual Russian option for selling short (1993), DIMACS Technical Report 93–126.Google Scholar

Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • G. Kallianpur
    • 1
  1. 1.Department of StatisticsUniversity of North Carolina at Chapel HillChapel HillUSA

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