Callable Russian Options and Their Optimal Boundaries | Zendy

Atsuo Suzuki | Zendy; Katsushige Sawaki | Zendy

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Callable Russian Options and Their Optimal Boundaries

Author(s) -

Atsuo Suzuki,

Katsushige Sawaki

Publication year - 2009

Publication title -

journal of applied mathematics and decision sciences

Language(s) - English

Resource type - Journals

eISSN - 1532-7612

pISSN - 1173-9126

DOI - 10.1155/2009/593986

Subject(s) - callable bond , optimal stopping , value (mathematics) , function (biology) , microeconomics , economics , actuarial science , business , mathematical economics , financial economics , finance , mathematics , bond , statistics , evolutionary biology , biology

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

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