Callable Russian Options with the Finite Maturity

Abstract

We consider callable Russian options with the finite maturity. Callable Russian option is a contract that the seller and the buyer have the rights to cancel and to exercise it at any time, respectively. We discuss the pricing model of callable Russian options when the stock pays dividends continuously. We show that the pricing model can be formulated as a coupled optimal stopping problem which is analyzed as Dynkin game.

Cite this paper

@inproceedings{Suzuki2010CallableRO, title={Callable Russian Options with the Finite Maturity}, author={Atsuo Suzuki and Katsushige Sawaki}, year={2010} }