Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A New Look at Pricing of the ”Russian Option“

9 references·16 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1973Theory of Rational Option Pricing8,084 cited
1979Martingales and arbitrage in multiperiod securities markets3,595 cited
1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1988Brownian Motion and Stochastic Calculus1,559 cited
1987Limit Theorems for Stochastic Processes1,329 cited
1981Stochastic Differential Equations and Diffusion Processes633 cited
1984On the theory of option pricing288 cited
1993The Russian Option: Reduced Regret229 cited

Cited by

2014Fluctuations of Lévy Processes with Applications407 cited
2003Russian and American put options under exponential phase-type Lévy models339 cited
1998Optimal stopping of the maximum process: the maximality principle108 cited
2004Some calculations for Israeli options99 cited
2005The Russian option: Finite horizon99 cited
2003Perpetual options and Canadization through fluctuation theory91 cited
2001Some optimal stopping problems with nontrivial boundaries for pricing exotic options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

76 cited

1995Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time75 cited

2004Computational Science - ICCS 200468 cited

2008On the duality principle in option pricing: semimartingale setting65 cited

2004Properties of American option prices61 cited

2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS57 cited

2006Symmetry and duality in Lévy markets51 cited

2000Discounted optimal stopping problems for the maximum process47 cited

1995Toward the Theory of Pricing of Options of Both European and American Types. I. Discrete time46 cited

2009The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process39 cited