Cen, Zhongdi; Le, Anbo An efficient numerical method for pricing a Russian option with a finite time horizon. (English) Zbl 1480.91312 Int. J. Comput. Math. 98, No. 10, 2025-2039 (2021). MSC: 91G60 65M06 65M12 65M15 91G20 PDF BibTeX XML Cite \textit{Z. Cen} and \textit{A. Le}, Int. J. Comput. Math. 98, No. 10, 2025--2039 (2021; Zbl 1480.91312) Full Text: DOI OpenURL
Okulov, Vitaly L.; Zhilina, Polina S. Game-theoretic modeling of market participants’ behavior: case of Russian adjustable-rate bonds with puts. (English) Zbl 1454.91303 Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume XIII. Collected papers presented at the 13th international conference on game theory and management (GTM 2019), St. Petersburg, Russia, June 27–29, 2018. St. Petersburg: St. Petersburg State University. 347-359 (2020). MSC: 91G20 91A25 91A80 PDF BibTeX XML Cite \textit{V. L. Okulov} and \textit{P. S. Zhilina}, in: Contributions to game theory and management. Volume XIII. Collected papers presented at the 13th international conference on game theory and management (GTM 2019), St. Petersburg, Russia, June 27--29, 2018. St. Petersburg: St. Petersburg State University. 347--359 (2020; Zbl 1454.91303) Full Text: MNR OpenURL
Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo An integral equation representation approach for valuing Russian options with a finite time horizon. (English) Zbl 1470.91280 Commun. Nonlinear Sci. Numer. Simul. 36, 496-516 (2016). MSC: 91G20 91G80 35C15 35K10 35R35 35R60 45G10 PDF BibTeX XML Cite \textit{J. Jeon} et al., Commun. Nonlinear Sci. Numer. Simul. 36, 496--516 (2016; Zbl 1470.91280) Full Text: DOI OpenURL
Dong, Yinghui; Han, Min A hyper-Erlang jump-diffusion process and applications in finance. (English) Zbl 1350.60075 J. Syst. Sci. Complex. 29, No. 2, 557-572 (2016). MSC: 60J60 60J75 91G80 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{M. Han}, J. Syst. Sci. Complex. 29, No. 2, 557--572 (2016; Zbl 1350.60075) Full Text: DOI OpenURL
Glover, K.; Peskir, G.; Samee, F. The British Russian option. (English) Zbl 1229.91308 Stochastics 83, No. 4-6, 315-332 (2011). MSC: 91G20 60G40 35R35 91G80 60J60 PDF BibTeX XML Cite \textit{K. Glover} et al., Stochastics 83, No. 4--6, 315--332 (2011; Zbl 1229.91308) Full Text: DOI Link OpenURL
Belomestny, Denis; Gapeev, Pavel V. An iterative procedure for solving integral equations related to optimal stopping problems. (English) Zbl 1222.60035 Stochastics 82, No. 4-6, 365-380 (2010). Reviewer: Klaus Schürger (Bonn) MSC: 60G40 65D15 91G80 60J60 60J65 65D30 PDF BibTeX XML Cite \textit{D. Belomestny} and \textit{P. V. Gapeev}, Stochastics 82, No. 4--6, 365--380 (2010; Zbl 1222.60035) Full Text: DOI OpenURL
Ivanov, R. V. 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). MSC: 93E20 91G10 PDF BibTeX XML Cite \textit{R. V. Ivanov}, Autom. Remote Control 71, No. 8, 1602--1607 (2010; Zbl 1204.93131); translation from Avtom. Telemekh. 2010, No. 8, 105--110 (2010) Full Text: DOI OpenURL
Suzuki, Atsuo; Sawaki, Katsushige The valuation of Russian options for double exponential jump diffusion processes. (English) Zbl 1231.91448 Asia-Pac. J. Oper. Res. 27, No. 2, 227-242 (2010). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{A. Suzuki} and \textit{K. Sawaki}, Asia-Pac. J. Oper. Res. 27, No. 2, 227--242 (2010; Zbl 1231.91448) Full Text: DOI OpenURL
Kamenov, A. A. Bachelier-version of Russian option with a finite time horizon. (English. Russian original) Zbl 1202.91320 Theory Probab. Appl. 53, No. 3, 548-557 (2009); translation from Teor. Veroyatn. Primen. 53, No. 3, 576-587 (2008). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{A. A. Kamenov}, Theory Probab. Appl. 53, No. 3, 548--557 (2009; Zbl 1202.91320); translation from Teor. Veroyatn. Primen. 53, No. 3, 576--587 (2008) Full Text: DOI OpenURL
Yang, Zhou A system of variational inequalities arising from finite expiry Russian option with two regimes. (English) Zbl 1167.35558 Math. Methods Appl. Sci. 32, No. 13, 1681-1703 (2009). MSC: 35R35 35J85 49J40 91B28 PDF BibTeX XML Cite \textit{Z. Yang}, Math. Methods Appl. Sci. 32, No. 13, 1681--1703 (2009; Zbl 1167.35558) Full Text: DOI OpenURL
Yi, Fahuai; Yu, Tao A free boundary problem arising from the valuation of the Russian option. (Chinese. English summary) Zbl 1199.91231 Acta Math. Appl. Sin. 31, No. 6, 993-1012 (2008). MSC: 91G20 35R35 PDF BibTeX XML Cite \textit{F. Yi} and \textit{T. Yu}, Acta Math. Appl. Sin. 31, No. 6, 993--1012 (2008; Zbl 1199.91231) OpenURL
Lerche, Hans Rudolf; Urusov, Mikhail Optimal stopping via measure transformation: the Beibel-Lerche approach. (English) Zbl 1122.60044 Stochastics 79, No. 3-4, 275-291 (2007). Reviewer: Klaus Schürger (Bonn) MSC: 60G40 60J60 PDF BibTeX XML Cite \textit{H. R. Lerche} and \textit{M. Urusov}, Stochastics 79, No. 3--4, 275--291 (2007; Zbl 1122.60044) Full Text: DOI OpenURL
Dayanik, Savas; Ludkovski, Michael Filling the gap between American and Russian options: adjustable regret. (English) Zbl 1124.60039 Stochastics 79, No. 1-2, 61-83 (2007). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 60J65 62L15 91G20 91B24 PDF BibTeX XML Cite \textit{S. Dayanik} and \textit{M. Ludkovski}, Stochastics 79, No. 1--2, 61--83 (2007; Zbl 1124.60039) Full Text: DOI OpenURL
Peskir, Goran The Russian option: finite horizon. (English) Zbl 1092.91029 Finance Stoch. 9, No. 2, 251-267 (2005). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G20 35R35 45G10 60J60 PDF BibTeX XML Cite \textit{G. Peskir}, Finance Stoch. 9, No. 2, 251--267 (2005; Zbl 1092.91029) Full Text: DOI Link OpenURL
Kotlobovskiĭ, I. B.; Tutubalin, V. N.; Uger, E. G. Introduction of “Russian option” into American stock exchange: evaluation of perspectives. (Russian) Zbl 1084.91015 Obozr. Prikl. Prom. Mat. 12, No. 1, 78-98 (2005). Reviewer: Elena Glukhova (Moskva) MSC: 91B24 91B28 91B44 PDF BibTeX XML Cite \textit{I. B. Kotlobovskiĭ} et al., Obozr. Prikl. Prom. Mat. 12, No. 1, 78--98 (2005; Zbl 1084.91015) OpenURL
Sheĭnzon, I. A. Comparison of theoretical formulas for price and hedging strategy of the Russian option with real data. (Russian, English) Zbl 1083.91057 Vestn. Mosk. Univ., Ser. I 2004, No. 4, 17-24 (2004); translation in Mosc. Univ. Math. Bull. 59, No. 4, 17-23 (2004). MSC: 91B28 91B74 PDF BibTeX XML Cite \textit{I. A. Sheĭnzon}, Vestn. Mosk. Univ., Ser. I 2004, No. 4, 17--24 (2004; Zbl 1083.91057); translation in Mosc. Univ. Math. Bull. 59, No. 4, 17--23 (2004) OpenURL
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. Russian and American put options under exponential phase-type Lévy models. (English) Zbl 1075.60037 Stochastic Processes Appl. 109, No. 1, 79-111 (2004). MSC: 60G40 91B28 PDF BibTeX XML Cite \textit{S. Asmussen} et al., Stochastic Processes Appl. 109, No. 1, 79--111 (2004; Zbl 1075.60037) Full Text: DOI OpenURL
Kyprianou, Andreas E. Some calculations for Israeli options. (English) Zbl 1098.91055 Finance Stoch. 8, No. 1, 73-86 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G40 91A15 PDF BibTeX XML Cite \textit{A. E. Kyprianou}, Finance Stoch. 8, No. 1, 73--86 (2004; Zbl 1098.91055) Full Text: DOI OpenURL
Ekström, Erik Russian options with a finite time horizon. (English) Zbl 1062.60040 J. Appl. Probab. 41, No. 2, 313-326 (2004). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 91B28 35R35 45G10 60J60 62L15 PDF BibTeX XML Cite \textit{E. Ekström}, J. Appl. Probab. 41, No. 2, 313--326 (2004; Zbl 1062.60040) Full Text: DOI OpenURL
Avram, F.; Kyprianou, A. E.; Pistorius, M. R. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. (English) Zbl 1042.60023 Ann. Appl. Probab. 14, No. 1, 215-238 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G51 60J99 60G40 91B70 PDF BibTeX XML Cite \textit{F. Avram} et al., Ann. Appl. Probab. 14, No. 1, 215--238 (2004; Zbl 1042.60023) Full Text: DOI OpenURL
Kyprianou, A. E.; Pistorius, M. R. Perpetual options and Canadization through fluctuation theory. (English) Zbl 1039.60044 Ann. Appl. Probab. 13, No. 3, 1077-1098 (2003). MSC: 60G40 60J65 91B26 91B28 91B70 PDF BibTeX XML Cite \textit{A. E. Kyprianou} and \textit{M. R. Pistorius}, Ann. Appl. Probab. 13, No. 3, 1077--1098 (2003; Zbl 1039.60044) Full Text: DOI Link OpenURL
Shepp, L. A.; Shiryaev, A. N. The Russian option under conditions of a possible ‘freezing’ of prices. (English. Russian original) Zbl 1004.91043 Russ. Math. Surv. 56, No. 1, 179-181 (2001); translation from Usp. Mat. Nauk 56, No. 1, 187-188 (2001). MSC: 91B28 60G44 PDF BibTeX XML Cite \textit{L. A. Shepp} and \textit{A. N. Shiryaev}, Russ. Math. Surv. 56, No. 1, 179--181 (2001; Zbl 1004.91043); translation from Usp. Mat. Nauk 56, No. 1, 187--188 (2001) Full Text: DOI OpenURL
Guo, Xin An explicit solution to an optimal stopping problem with regime switching. (English) Zbl 0988.60038 J. Appl. Probab. 38, No. 2, 464-481 (2001). Reviewer: W.Stadje (Osnabrück) MSC: 60G40 62L10 93E20 PDF BibTeX XML Cite \textit{X. Guo}, J. Appl. Probab. 38, No. 2, 464--481 (2001; Zbl 0988.60038) Full Text: DOI Link OpenURL
Glonti, O. Pricing of the option which is the combination of Russian and integral Russian options. (English) Zbl 1008.91047 Bull. Georgian Acad. Sci. 162, No. 4, 8-9 (2000). MSC: 91B28 PDF BibTeX XML Cite \textit{O. Glonti}, Bull. Georgian Acad. Sci. 162, No. 4, 8--9 (2000; Zbl 1008.91047) OpenURL
Kallianpur, Gopinath; Karandikar, Rajeeva L. Introduction to option pricing theory. (English) Zbl 0969.91003 Boston: Birkhäuser. x, 268 p. (2000). Reviewer: Martin Schweizer (Berlin) MSC: 91G20 91-02 60-02 60G40 62P05 PDF BibTeX XML Cite \textit{G. Kallianpur} and \textit{R. L. Karandikar}, Introduction to option pricing theory. Boston: Birkhäuser (2000; Zbl 0969.91003) OpenURL
Graversen, S. E.; Peškir, G. On the Russian option: The expected waiting time. (English) Zbl 0924.60012 Theory Probab. Appl. 42, No. 3, 416-425 (1997) and Teor. Veroyatn. Primen. 42, No. 3, 564-575 (1997). Reviewer: Alexander Gushchin (Moskva) MSC: 60G40 60H30 60J60 91B28 PDF BibTeX XML Cite \textit{S. E. Graversen} and \textit{G. Peškir}, Teor. Veroyatn. Primen. 42, No. 3, 564--575 (1997; Zbl 0924.60012) Full Text: DOI Link OpenURL
Volkov, S. N. Generalization of an integral option. (English. Russian original) Zbl 0915.90031 Mosc. Univ. Math. Bull. 50, No. 6, 10-13 (1995); translation from Vestn. Mosk. Univ., Ser. I 1995, No. 6, 51-55 (1995). MSC: 91B28 PDF BibTeX XML Cite \textit{S. N. Volkov}, Mosc. Univ. Math. Bull. 50, No. 6, 10--13 (1995; Zbl 0915.90031); translation from Vestn. Mosk. Univ., Ser. I 1995, No. 6, 51--55 (1995) OpenURL
Gerber, Hans U.; Shiu, Elias S. W. From perpetual strangles to Russian options. (English) Zbl 0822.60042 Insur. Math. Econ. 15, No. 2-3, 121-126 (1994). Reviewer: V.Mackevičius (Vilnius) MSC: 60G40 62P05 PDF BibTeX XML Cite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, Insur. Math. Econ. 15, No. 2--3, 121--126 (1994; Zbl 0822.60042) Full Text: DOI OpenURL
Gerber, Hans U.; Shiu, Elias S. W. Pricing financial contracts with indexed homogeneous payoff. (English) Zbl 0816.90012 Mitt., Schweiz. Ver. Versicherungsmath. 1994, No. 2, 143-166 (1994). MSC: 91G20 91B25 PDF BibTeX XML Cite \textit{H. U. Gerber} and \textit{E. S. W. Shiu}, Mitt., Schweiz. Ver. Versicherungsmath. 1994, No. 2, 143--166 (1994; Zbl 0816.90012) OpenURL
Duffie, J. Darrell; Harrison, J. Michael Arbitrage pricing of Russian options and perpetual lookback options. (English) Zbl 0783.90009 Ann. Appl. Probab. 3, No. 3, 641-651 (1993). MSC: 91B28 60H30 91B24 PDF BibTeX XML Cite \textit{J. D. Duffie} and \textit{J. M. Harrison}, Ann. Appl. Probab. 3, No. 3, 641--651 (1993; Zbl 0783.90009) Full Text: DOI OpenURL
Shepp, Larry; Shiryaev, A. N. The Russian option: Reduced regret. (English) Zbl 0783.90011 Ann. Appl. Probab. 3, No. 3, 631-640 (1993). MSC: 91B28 60H30 60G44 PDF BibTeX XML Cite \textit{L. Shepp} and \textit{A. N. Shiryaev}, Ann. Appl. Probab. 3, No. 3, 631--640 (1993; Zbl 0783.90011) Full Text: DOI OpenURL