Numerical Pricing of Finite Expiry Russian Options
Masterarbeit Wirtschaftsmathematik
Master's Thesis in Financial Mathematics, Halmstad University, Sweden
Supervision
Description
In this thesis we want to investigate the two methods of
Duistermaat et al. and Kimura to price numerically
Russian option with finite time horizon.
Keywords
Russian options, path-dependent contingent claims,
exotic options, optimal stopping problem, free boundary problem, Laplace-Carson transformation
References:
- S. Asmussen, F. Avram and M.R. Pistorius,
Russian and American put options under exponential phase-type Levy models,
Stochastic Processes and their Applications 109 (2004), 79-111.
- P. Carr,
Randomization and the American put,
Review of Financial Studies 11 (1998), 597-626.
- J.D. Duffie and J.M. Harrison,
Arbitrage pricing of Russian options and perpetual lookback options,
Annals of Applied Probability 3 (1993), 641-651.
- J.J. Duistermaat, A.E. Kyprianou and K. van Schaik,
Finite expiry Russian options,
Stochastic Processes and their Applications 115 (2005), 609-638.
- E. Ekström,
Russian options with a finite time horizon,
Journal of Applied Probability 41 (2004), 313-326.
- S.E. Graversen and G. Peskir,
On the Russian option: The expected waiting time,
Theory of Probability and its Applications 42 (1998), 416-425.
- T. Kimura,
Valuing finite-lived Russian options,
Europ. J. Oper. Research 189 (2008), 363-374.
- A.E. Kyprianou and M.R. Pistorius
Perpetual options and Canadization through fluctuation theory,
Annals of Applied Probability 13 (2003), 1077-1098.
- J.L. Pedersen,
Discounted optimal stopping problems for the maximum process,
Journal of Applied Probability 37 (2000), 972-983.
- G. Peskir,
The Russian option: Finite horizon,
Finance and Stochastics 9 (2005), 251-267.
- L. Shepp and A.N. Shiryaev,
The Russian options: Reduced regret,
Annals of Applied Probability 3 (1993), 631-640.
- L. Shepp and A.N. Shiryaev,
A new look at the 'Russian option',
Theory of Probability and its Applications 39 (1994), 103-119.
