Journal article
From perpetual strangles to Russian options
Insurance, mathematics & economics, Vol.15(2), pp.121-126
1994
DOI: 10.1016/0167-6687(94)90787-0
Abstract
The owner of a Russian option on a stock receives the historical maximum value of the stock prices upon exercising the option. There is no fixed exercise date since it is a perpetual American option. As the payoff is path-dependent, it is remarkable that there are simple formulas for the price. This paper derives two (equivalent) pricing formulas by means of the optional sampling theorem.
Details
- Title: Subtitle
- From perpetual strangles to Russian options
- Creators
- Hans U Gerber - Ecole des hautes études commerciales, Université de Lausanne, CH-1015 Lausanne, SwitzerlandElias S.W Shiu - Department of Statistics and Actuarial Science, The University of Iowa, Iowa City, 52242-1419, USA
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.15(2), pp.121-126
- Publisher
- Elsevier B.V
- DOI
- 10.1016/0167-6687(94)90787-0
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Language
- English
- Date published
- 1994
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983985823302771
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