Callable Russian Options with the Finite Maturity
作者单位：Faculty of Urban Science Meijo University Nanzan Business School Nanzan University
会议名称：《第九届运筹学及其应用国际研讨会》
会议日期：2010年
学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学]
基 金：supported by Grant-in-Aid for Scientific Research(A)(20241037) Grant-in-Aid for Young Scientists (B)(22710154)
关 键 词：callable Russian option optimal region optimal stopping first hitting times
摘 要：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.