On the problem of optimal stopping for the composite Russian option. (English. Russian original) Zbl 1204.93131

Autom. Remote Control 71, No. 8, 1602-1607 (2010); translation from Avtom. Telemekh. 2010, No. 8, 105-110 (2010).
Summary: This work is devoted to the solution of the problem on optimal stopping for the Russian option with the multiple presentation of the option for the execution. The characterization of the solution is presented in the form of a description of domains of the stopping and the extension of observations. The method for solving the problem in the explicit form by induction is considered.


93E20 Optimal stochastic control
91G10 Portfolio theory
Full Text: DOI


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