On the Russian Option: The Expected Waiting Time

  • G. P ESKIR
  • Published 1997

Abstract

In the context of the Russian option of L: Shepp and A: N: Shiryaev, we present a new derivation of the solution for the underlying one-dimensional optimal stopping problem. Our method is not based on the smooth pasting guess and Itô formula, but only uses the strong Markov property. In addition, the exact formula is given for the expected waiting time of… (More)

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