Journal of Applied Mathematics and Decision Sciences
Volume 2009 (2009), Article ID 593986, 13 pages
doi:10.1155/2009/593986
Research Article

Callable Russian Options and Their Optimal Boundaries

Atsuo Suzuki1 and Katsushige Sawaki2

1Faculty of Urban Science, Meijo University, 4-3-3 Nijigaoka, Kani, Gifu 509-0261, Japan
2Nanzan Business School, Nanzan University, 18 Yamazato-cho, Showa-ku, Nagoya 466-8673, Japan

Received 28 November 2008; Accepted 10 February 2009

Academic Editor: Lean Yu

Copyright © 2009 Atsuo Suzuki and Katsushige Sawaki. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer, New York, NY, USA, 1998. View at Zentralblatt MATH · View at MathSciNet
  2. A. E. Kyprianou, “Some calculations for Israeli options,” Finance and Stochastics, vol. 8, no. 1, pp. 73–86, 2004. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  3. A. Suzuki and K. Sawaki, “The pricing of callable perpetual American options,” Transactions of the Operations Research Society of Japan, vol. 49, pp. 19–31, 2006 (Japanese).
  4. A. Suzuki and K. Sawaki, “The pricing of perpetual game put options and optimal boundaries,” in Recent Advances in Stochastic Operations Research, pp. 175–188, World Scientific, River Edge, NJ, USA, 2007. View at MathSciNet
  5. L. A. Shepp and A. N. Shiryaev, “The Russian option: reduced regret,” The Annals of Applied Probability, vol. 3, no. 3, pp. 631–640, 1993. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  6. L. A. Shepp and A. N. Shiryaev, “A new look at pricing of the “Russian option”,” Theory of Probability and Its Applications, vol. 39, no. 1, pp. 103–119, 1994. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  7. Y. Kifer, “Game options,” Finance and Stochastics, vol. 4, no. 4, pp. 443–463, 2000. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  8. I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, New York, NY, USA, 2nd edition, 1991. View at Zentralblatt MATH · View at MathSciNet