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On the Russian Option: The Expected Waiting Time

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY912 cited
1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures731 cited
1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
1993The Russian Option: Reduced Regret229 cited
1995A New Look at Pricing of the ”Russian Option“122 cited
1994Optimal Stopping Rules and Maximal Inequalities for Bessel Processes110 cited

Cited by

2003Russian and American put options under exponential phase-type Lévy models339 cited
2007Linear programming approach to the optimal stopping of singular stochastic processes15 cited

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