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Tr. Mat. Inst. Steklova, 2002, Volume 237, Pages 279–289 (Mi tm339)  

The Pricing of an Option That Is a Combination of Russian and Integral Russian Options

O. A. Glonti

Tbilisi Ivane Javakhishvili State University

Abstract: A ew American option is considered within the classical Black–Scholes model. This option represents a combination of Russian and integral Russian options. The pricing problem for this option is reduced to an optimal stopping problem, which is solved in the case of an infinite time horizon.

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English version:
Proceedings of the Steklov Institute of Mathematics, 2002, 237, 270–280

Bibliographic databases:
UDC: 519.2+519.8
Received in December 2000

Citation: O. A. Glonti, “The Pricing of an Option That Is a Combination of Russian and Integral Russian Options”, Stochastic financial mathematics, Collected papers, Tr. Mat. Inst. Steklova, 237, Nauka, MAIK Nauka/Inteperiodika, M., 2002, 279–289; Proc. Steklov Inst. Math., 237 (2002), 270–280

Citation in format AMSBIB
\Bibitem{Glo02}
\by O.~A.~Glonti
\paper The Pricing of an Option That Is a~Combination of Russian and Integral Russian Options
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Tr. Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 279--289
\publ Nauka, MAIK Nauka/Inteperiodika
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm339}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=1976523}
\zmath{https://zbmath.org/?q=an:1042.91041}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 270--280


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