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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
3 articles.
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