Year: 1995
Type: article
Abstract: The “Russian option” was introduced and calculated with the help of the solution of the optimal stopping problem for a two-dimensional Markov process in [10]. This paper proposes a new derivation of the general results [10]. The key idea is to introduce the dual martingale measure which permits one to reduce the “two-dimensional” optimal stopping problem to a “one-dimensional” one. This approach simplifies the discussion and explain the simplicity of the answer found in [10].
DOI: 10.1137/1139004
Authors: L. A. Shepp, A. N. Shiryaev
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2052249283