An integral equation representation approach for valuing Russian options with a finite time horizon-Reference-Cited by-同舟云学术

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An integral equation representation approach for valuing Russian options with a finite time horizon

Published:2016-07 Issue: Volume:36 Page:496-516
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Jeon Junkee,Han Heejae,Kim Hyeonuk,Kang Myungjoo

Funder

the National Research Foundation of Korea (NRF)

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference29 articles.

1. American options with lookback payoff;Dai;SIAM J Appl Math,2005

2. Exercise regions and effective valuation of American lookback options;Lai;Math Financ,2004

3. The Russian option: Reduced regret;Shepp;Ann Appl Probab,1993

4. Russian options with a finite time horizon;Ekström;J Appl Probab,2004

5. The Russian option: Finite horizon;Peskir;Financ Stoch,2005

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1. GENERALIZED EXPONENTIAL BASIS FOR EFFICIENT SOLVING OF HOMOGENEOUS DIFFUSION FREE BOUNDARY PROBLEMS: RUSSIAN OPTION PRICING;Journal of Mathematical Sciences;2022-08-23

2. An integral equation representation for American better-of option on two underlying assets;Advances in Continuous and Discrete Models;2022-05-12

3. A variational inequality arising from optimal surrender of variable annuity with lookback benefit;Journal of Inequalities and Applications;2022-01-04

4. Pricing variable annuity with surrender guarantee;Journal of Computational and Applied Mathematics;2021-09

5. An efficient numerical method for pricing a Russian option with a finite time horizon;International Journal of Computer Mathematics;2021-01-21

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