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Callable Russian Options and Their Optimal Boundaries

机译:可赎回的俄罗斯期权及其最优边界

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We deal with the pricing of callable Russian options. A callable Russian optionis a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time,respectively. The pricing of such an option can be formulated as an optimal stopping problem between theseller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russianoptions and their optimal boundaries.
机译:我们处理可赎回俄罗斯期权的定价。可赎回的俄罗斯期权是一种合同,其中买卖双方都有权分别在任何时候取消和行使。可以将这种期权的定价公式化为卖方和买方之间的最优止损问题,并作为Dynkin博弈进行分析。我们推导出可赎回俄罗斯期权的价值函数及其最优边界。

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