Solving the dual Russian option problem by using change‐of‐measure arguments
Author:
Affiliation:
1. Department of MathematicsLondon School of Economics London UK
Publisher
Wiley
Subject
General Medicine
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/hf2.10030
Reference43 articles.
1. Russian and American put options under exponential phase-type Lévy models
2. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
3. Real options with a double continuation region
4. Real Options and American Derivatives: The Double Continuation Region
5. The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
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