A system of variational inequalities arising from finite expiry Russian option with two regimes

Author:

Yang Zhou

Funder

National Natural Science Foundation of China

University Special Research Fund for Ph.D. Program

Publisher

Wiley

Subject

General Engineering,General Mathematics

Reference13 articles.

1. The Russian option: reduced regret;Shepp;Annals of Applied Probability,1994

2. A new look at pricing of the ‘Russian option’;Shepp;Theory of Probability and its Applications,1995

3. The Russian option: finite horizon;Peskir;Finance and Stochastics,2005

4. Finite expiry Russian option;Duistermaat;Stochastic Processes and Their Applications,2005

5. A free boundary problem arising from the valuation of the Russian option;Yi;Acta Mathematicae Applicatae Sinica,2008

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